Censored Stable Processes
Event details
| Date | 15.11.2012 |
| Hour | 11:15 › 12:15 |
| Speaker | Prof. Andreas Kyprianou |
| Location |
CM1100
|
| Category | Conferences - Seminars |
We look at a general two-sided jumping strictly alpha-stable process where alpha is in (0,2). By censoring its path each time it enters the negative half line we show that the resulting process is a positive self-similar Markov Process. Using Lamperti's transformation we uncover an underlying driving Lévy process and, moreover, we are able to describe in surprisingly explicit detail the Wiener-Hopf factorization of the latter. Using this Wiener-Hopf factorization together with a series of spatial path transformations, it is now possible to produce an explicit formula for the law of the original stable processes as it first ``enters'' a finite interval, thereby generalizing a result of Blumenthal, Getoor and Ray for symmetric stable processes from 1961.
This is joint work with Alex Watson (Bath) and JC Pardo (CIMAT)
This is joint work with Alex Watson (Bath) and JC Pardo (CIMAT)
Practical information
- General public
- Free
Organizer
- Professor Robert C. Dalang
Contact
- Le Chen