English

The area of a self-similar fragmentation

Probability 2011-01-21 v1

Abstract

We consider the area A=0(i=1Xi(t))\dtA=\int_0^{\infty}\left(\sum_{i=1}^{\infty} X_i(t)\right) \d t of a self-similar fragmentation process \X=(\X(t),t0)\X=(\X(t), t\geq 0) with negative index. We characterize the law of AA by an integro-differential equation. The latter may be viewed as the infinitesimal version of a recursive distribution equation that arises naturally in this setting. In the case of binary splitting, this yields a recursive formula for the entire moments of AA which generalizes known results for the area of the Brownian excursion.

Keywords

Cite

@article{arxiv.1101.3965,
  title  = {The area of a self-similar fragmentation},
  author = {Jean Bertoin},
  journal= {arXiv preprint arXiv:1101.3965},
  year   = {2011}
}