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Deep factorisation of the stable process. (English) Zbl 1338.60130
Summary: The Lamperti-Kiu transformation for real-valued self-similar Markov processes (rssMp) states that, associated to each rssMp via a space-time transformation, there is a Markov additive process (MAP). In the case that the rssMp is taken to be an \(\alpha \)-stable process with \(\alpha \in (0,2)\), L. Chaumont et al. [Bernoulli 19, No. 5B, 2494–2523 (2013; Zbl 1284.60077)] and A. Kuznetsov et al. [Electron. J. Probab. 19, Paper No. 30, 26 p. (2014; Zbl 1293.60055)] have computed explicitly the characteristics of the matrix exponent of the semi-group of the embedded MAP, which we henceforth refer to as the Lamperti-stable MAP. Specifically, the matrix exponent of the Lamperti-stable MAP’s transition semi-group can be written in a compact form using only gamma functions.
Just as with Lévy processes, there exists a factorisation of the (matrix) exponents of MAPs, with each of the two factors uniquely characterising the ascending and descending ladder processes, which themselves are again MAPs. Although the case of MAPs with jumps in only one direction should be relatively straightforward to handle, to the author’s knowledge, not a single example of such a factorisation for two-sided jumping MAPs currently exists in the literature. In this article we provide a completely explicit Wiener-Hopf factorisation for the Lamperti-stable MAP.
The main value and novelty of exploring the matrix Wiener-Hopf factorisation of the underlying MAP comes about through style of the computational approach. Understanding the fluctuation theory of the underlying MAP offers new insight into different ways of analysing stable processes. Indeed, we obtain new space-time invariance properties of stable processes, as well as demonstrating examples how new fluctuation identities for stable processes can be developed as a consequence of the reasoning in deriving the matrix Wiener-Hopf factors. The methodology in this paper has already lead to new applications in [the author, V. Rivero and B. Şengül, “Deep factorisation of the stable process. II: Potentials and applications” (Preprint), arXiv:1511.06356] and [the author, V. Rivero andW. Satitkanitkul, “Conditioned real self-similar Markov processes” (Preprint), arXiv:1510.01781].

60G52 Stable stochastic processes
60G18 Self-similar stochastic processes
60G51 Processes with independent increments; Lévy processes
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