English

Spectral analysis of subordinate Brownian motions in half-line

Probability 2011-12-08 v4 Spectral Theory

Abstract

We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely monotone density; or, equivalently, symmetric Levy processes whose Levy measure has completely monotone density on the positive half-line. Examples include symmetric stable processes and relativistic processes. The main result is a formula for the generalized eigenfunctions of transition operators of the process killed after exiting the half-line. A generalized eigenfunction expansion of the transition operators is derived. As an application, a formula for the distribution of the first passage time (or the supremum functional) is obtained.

Keywords

Cite

@article{arxiv.1006.0524,
  title  = {Spectral analysis of subordinate Brownian motions in half-line},
  author = {Mateusz Kwasnicki},
  journal= {arXiv preprint arXiv:1006.0524},
  year   = {2011}
}

Comments

58 pages, 1 figure. Major revision