Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4663534 | Acta Mathematica Scientia | 2015 | 11 Pages |
Abstract
By using Lamperti's bijection between self-similar Markov processes and Lévy processes, we prove finiteness of moments and asymptotic behavior of passage times for increasing self-similar Markov processes valued in (0, ∞). We also investigate the behavior of the process when it crosses a level. A limit theorem concerning the distribution of the process immediately before it crosses some level is proved. Some useful examples are given.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)