On subordinators, self-similar Markov processes and some factorizations of the exponential variable.
Bertoin, Jean, Yor, Marc (2001)
Electronic Communications in Probability [electronic only]
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Bertoin, Jean, Yor, Marc (2001)
Electronic Communications in Probability [electronic only]
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A. E. Kyprianou, P. Patie (2011)
Annales de l'I.H.P. Probabilités et statistiques
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The aim of this note is to give a straightforward proof of a general version of the Ciesielski–Taylor identity for positive self-similar Markov processes of the spectrally negative type which umbrellas all previously known Ciesielski–Taylor identities within the latter class. The approach makes use of three fundamental features. Firstly, a new transformation which maps a subset of the family of Laplace exponents of spectrally negative Lévy processes into itself. Secondly, some classical...
Nicolas Privault, Jean-Claude Zambrini (2004)
Annales de l'I.H.P. Probabilités et statistiques
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Philippe Carmona, Frédérique Petit, Marc Yor (1998)
Revista Matemática Iberoamericana
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In this paper, we study particular examples of the intertwining relation
QtΛ = ΛPt
between two Markov semi-groups (Pt, t ≥ 0) defined respectively on (E,ε) and (F,
K. Helmes (1986)
Studia Mathematica
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Patie Pierre (2009)
Annales de l'I.H.P. Probabilités et statistiques
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We first characterize the increasing eigenfunctions associated to the following family of integro-differential operators, for any , >0, ≥0 and a smooth function on , where the coefficients ,≥0 and the measure , which satisfies the integrability condition (1∧ )(d)<+∞, are uniquely determined by the distribution of a spectrally negative, infinitely divisible random variable, with characteristic exponent . ...
Lambert, Amaury (2007)
Electronic Journal of Probability [electronic only]
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