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 -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 -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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