English

The hitting time of zero for a stable process

Probability 2014-03-11 v3

Abstract

For any two-sided jumping α\alpha-stable process, where 1<α<21 < \alpha < 2, 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}
}
R2 v1 2026-06-21T22:58:13.616Z