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Department of Mathematics,
University of California San Diego

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Math 288 - Probability Seminar

Pat Fitzsimmons

UCSD

Recurrent extensions of self-similar Markov processes

Abstract:

Let $X=(X_t)_{t\ge 0}$ be a self-similar Markov process with values in the non-negative half line, such that the state $0$ is a trap. We present a necessary and sufficient condition for the existence of a self-similar recurrent extension of $X$ that leaves $0$ continuously. This condition is expressed in terms of the L\'evy process associated with $X$ by the Lamperti transformation.

Host:

April 27, 2006

10:00 AM

AP&M 6218

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