Andreas E. Kyprianou (University of Bath), Juan Carlos Pardo
Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-type representation as the space-time path transformation of so-called Markov additive processes (MAPs). This completely new mathematical treatment takes advantage of the fact that the underlying MAP for stable processes can be explicitly described in one dimension and semi-explicitly described in higher dimensions, and uses this approach to catalogue a large number of explicit results describing the path fluctuations of stable Lévy processes in...
Stable Lévy processes lie at the intersection of Lévy processes and self-similar Markov processes. Processes in the latter class enjoy a Lamperti-ty...