Stable Lévy Processes via Lamperti-Type Representations

Andreas E. Kyprianou, Juan Carlos Pardo

• Publisher: Cambridge University Press
• Year: 2022
• Print ISBN:
  9781108480291
• eBook ISBN:
  9781108572163
• Topic: Mathematics
• Subtopic: Probability & Statistics
• Index: Mathematics

Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in one dimension and semi-explicitly described in higher dimensions, and uses this approach to catalogue a large number of explicit results describing the path fluctuations of stable Lévy processes in one and higher dimensions. Written for graduate students and researchers in the field, this book systemically establishes many classical results as well as presenting many recent results appearing in the last decade, including previously unpublished material. Topics explored include first hitting laws for a variety of sets, path conditionings, law-preserving path transformations, the distribution of extremal points, growth envelopes and winding behaviour.

Table of contents

• Cover
• Half-title Page
• Series Page
• Title Page
• Copyright Page
• Dedication
• Contents
• Notation
• Preface
• Acknowledgements
• 1 Stable distributions
• 2 Lévy processes
• 3 Stable processes
• 4 Hypergeometric Lévy processes
• 5 Positive self-similar Markov processes
• 6 Spatial fluctuations in one dimension
• 7 Doney–Kuznetsov factorisation and the maximum
• 8 Asymptotic behaviour for stable processes
• 9 Envelopes of positive self-similar Markov processes
• 10 Asymptotic behaviour for path transformations
• 11 Markov additive and self-similar Markov processes
• 12 Stable processes as self-similar Markov processes
• 13 Radial reflection and the deep factorisation
• 14 Spatial fluctuations and the unit sphere
• 15 Applications of radial excursion theory
• 16 Windings and up-crossings of stable processes
• Appendix
• References
• Index