A temporal factorization at the maximum for spectrally negative positive self-similar Markov processes
classification
🧮 math.PR
keywords
overallprocesssupremumabsorptionfactorizationmarkovmaximumnegative
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For a spectrally negative positive self-similar Markov process with an a.s. finite overall supremum we provide, in tractable detail, a kind of conditional Wiener-Hopf factorization at the maximum of the absorption time at zero, the conditioning being on the overall supremum and the jump at the overall supremum. In a companion result the Laplace transform of said absorption time (on the event that the process does not go above a given level) is identified under no other assumptions (such as the process admitting a recurrent extension and/or hitting zero continuously), generalizing some existent results in the literature.
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