Abstract
In this paper we study positive self-similar Markov processes obtained by (partially) resurrecting a strictly α-stable process at its first exit time from (0,∞). We construct those processes by using the Lamperti transform. We explain their long term behavior and give conditions for absorption at 0 in finite time. In case the process is absorbed at 0 in finite time, we give a necessary and sufficient condition for the existence of a recurrent extension. The motivation to study resurrected processes comes from the fact that their jump kernels may explode at zero. We establish sharp two-sided jump kernel estimates for a large class of resurrected stable processes.
Original language | English (US) |
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Pages (from-to) | 379-420 |
Number of pages | 42 |
Journal | Stochastic Processes and their Applications |
Volume | 156 |
DOIs | |
State | Published - Feb 2023 |
Keywords
- Jump kernel
- Lamperti transform
- Lévy process
- Positive self-similar Markov process
- Resurrection
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics