The Lamperti representation of real-valued self-similar Markov processes

preprint2013arXivOpen access

Abstract

In this paper, we obtain a Lamperti type representation for real-valued self-similar Markov processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar Markov processes as time changed multiplicative invariant processes. Doing so, we complete Kiu's work [Stochastic Process. Appl. 10 (1980) 183-191], following some ideas in Chybiryakov [Stochastic Process. Appl. 116 (2006) 857-872] in order to characterize the underlying processes in this representation. We provide some examples where the characteristics of the underlying processes can be computed explicitly.

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