English

The Doob-McKean identity for stable L\'evy processes

Probability 2022-01-12 v1

Abstract

We re-examine the celebrated Doob--McKean identity that identifies a conditioned one-dimensional Brownian motion as the radial part of a 3-dimensional Brownian motion or, equivalently, a Bessel-3 process, albeit now in the analogous setting of isotropic α\alpha-stable processes. We find a natural analogue that matches the Brownian setting, with the role of the Brownian motion replaced by that of the isotropic α\alpha-stable process, providing one interprets the components of the original identity in the right way.

Keywords

Cite

@article{arxiv.2103.12179,
  title  = {The Doob-McKean identity for stable L\'evy processes},
  author = {Andreas E. Kyprianou and Neil O'Connell},
  journal= {arXiv preprint arXiv:2103.12179},
  year   = {2022}
}

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R2 v1 2026-06-24T00:26:54.769Z