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**Real self-similar processes started from the origin.**
*(English)*
Zbl 1372.60052

Authors’ abstract: Since the seminal work of J. Lamperti [Z. Wahrscheinlichkeitstheor. Verw. Geb. 22, 205–225 (1972; Zbl 0274.60052)], there is a lot of interest in the understanding of the general structure of self-similar Markov processes. Lamperti gave a representation of positive self-similar Markov processes with initial condition strictly larger than 0 which was subsequently extended to zero initial condition. For real self-similar Markov processes (rssMps), there is a representation giving a one-to-one correspondence between Markov additive processes and rssMps with initial condition different from the origin. We develop fluctuation theory for Markov additive processes and use Kuznetsov measures to construct the law of transient real self-similar Markov processes issued from the origin. The construction gives a pathwise representation through two-sided Markov additive processes extending the Lamperti-Kiu representation to the origin.

Reviewer: B. L. S. Prakasa Rao (Hyderabad)

### MSC:

60G18 | Self-similar stochastic processes |

60J25 | Continuous-time Markov processes on general state spaces |