On a formula on the potential operators of absorbing Lévy processes in the half space

Yozo Tamura, Hiroshi Tanaka

研究成果: Article査読

2 被引用数 (Scopus)

抄録

A representation of the potential operator of an absorbing Lévy process in the half space (0, ∞) × Rd - 1, d ≥ 2, is given in terms of three measures μ, over(μ, ̂) and over(μ, ̇) on [0, ∞) × Rd - 1 arising in the fluctuation theory of Lévy processes. In the case of a rotation invariant stable Lévy process, the potential kernel in the half space is computed explicitly. It will also be proved that the measure over(μ, ̂) is an excessive measure (an invariant measure under some conditions) of a Markov process, which is derived from the given Lévy process in a certain way.

本文言語English
ページ(範囲)199-212
ページ数14
ジャーナルStochastic Processes and their Applications
118
2
DOI
出版ステータスPublished - 2008 2月
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • モデリングとシミュレーション
  • 応用数学

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