pith. sign in

arxiv: 1006.0524 · v4 · pith:TRZRLVB2new · submitted 2010-06-02 · 🧮 math.PR · math.SP

Spectral analysis of subordinate Brownian motions in half-line

classification 🧮 math.PR math.SP
keywords processeslevyhalf-linebrowniancompletelydensityformulageneralized
0
0 comments X
read the original abstract

We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely monotone density; or, equivalently, symmetric Levy processes whose Levy measure has completely monotone density on the positive half-line. Examples include symmetric stable processes and relativistic processes. The main result is a formula for the generalized eigenfunctions of transition operators of the process killed after exiting the half-line. A generalized eigenfunction expansion of the transition operators is derived. As an application, a formula for the distribution of the first passage time (or the supremum functional) is obtained.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.