Law of the absorption time of some positive self-similar Markov processes
نویسندگان
چکیده
منابع مشابه
Law of the Absorption Time of Some Positive Self-similar Markov Processes
Let X be a spectrally negative self-similar Markov process with 0 as an absorbing state. In this paper, we show that the distribution of the absorption time is absolutely continuous with an infinitely continuously differentiable density. We provide a power series and a contour integral representation of this density. Then, by means of probabilistic arguments, we deduce some interesting analytic...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2012
ISSN: 0091-1798
DOI: 10.1214/10-aop638