On entire moments of self-similar Markov processes

Details On entire moments of self-similar Markov processes On entire moments of self-similar Markov processes

2012-03-20

arxiv.org/abs/1203.4332v1

Mathematics

Probability

7 pages

Scientific paper

It has been shown by Bertoin and Yor (2002) that the law of positive
self-similar Markov processes (pssMps) that only jump downwards and do not hit
zero in finite time are uniquely determined by their entire moments for which
explicit formulas have been derived. We use a recent jump-type stochastic
differential equation approach to reprove and to extend their formulas.

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