Document Zbl 1110.60036

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Fitzsimmons, Patrick J.

On the existence of recurrent extensions of self-similar Markov processes. (English) Zbl 1110.60036

Electron. Commun. Probab. 11, 230-241 (2006).

Summary: Let \(X=(X_t)_{t\leq 0}\) be a self-similar Markov process with values in the nonnegative half-line, such that the state 0 is a trap. We present a necessary and sufficient condition for the existence of a self-similar recurrent extension of \(X\) that leaves 0 continuously. This condition is expressed in terms of the Lévy process associated with \(X\) by the Lamperti transformation.

Cited in 2 Reviews

Cited in 16 Documents

MSC:

60G18	Self-similar stochastic processes
60G51	Processes with independent increments; Lévy processes
60J45	Probabilistic potential theory
60J55	Local time and additive functionals

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