Hitting distributions of alpha-stable processes via path censoring and self-similarity

A. E. Kyprianou, J. C. Pardo, A. R. Watson

Abstract

In this paper we return to the problem of Blumenthal–Getoor–Ray, published in 1961, which gave the law of the position of first entry of a symmetric α-stable process into the unit ball. Specifically, we are interested in establishing the same law, but now for a one dimensional α-stable process which enjoys two-sided jumps, and which is not necessarily symmetric. Our method is modern in the sense that we appeal to the relationship between α-stable processes and certain positive self-similar Markov processes. However there are two notable additional innovations. First, we make use of a type of path censoring. Second, we are able to describe in explicit analytical detail a non-trivial Wiener–Hopf factorisation of an auxiliary Levy process from which the desired solution can be sourced. Moreover, as a consequence of this approach, we are able to deliver a number of additional, related identities in explicit form for α-stable processes.

Type
article
Publication
Annals of Probability, 42, no. 1, 393–430
Date
January 2014
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