The hitting time of zero for a stable process
Probability
2014-03-11 v3
Abstract
For any two-sided jumping -stable process, where , we find an explicit identity for the law of the first hitting time of the origin. This complements existing work in the symmetric case and the spectrally one-sided case; cf. Yano-Yano-Yor (2009) and Cordero (2010), and Peskir (2008) respectively. We appeal to the Lamperti-Kiu representation of Chaumont-Pant\'i-Rivero (2011) for real-valued self-similar Markov processes. Our main result follows by considering a vector-valued functional equation for the Mellin transform of the integrated exponential Markov additive process in the Lamperti-Kiu representation. We conclude our presentation with some applications.
Keywords
Cite
@article{arxiv.1212.5153,
title = {The hitting time of zero for a stable process},
author = {Alexey Kuznetsov and Andreas E. Kyprianou and Juan Carlos Pardo and Alexander R. Watson},
journal= {arXiv preprint arXiv:1212.5153},
year = {2014}
}