Open Access
2012 Jump type SDEs for self-similar processes
Leif Döring, Matyas Barczy
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Electron. J. Probab. 17: 1-39 (2012). DOI: 10.1214/EJP.v17-2402


We present a new approach to positive self-similar Markov processes (pssMps) by reformulating Lamperti's transformation via jump type SDEs. As applications, we give direct constructions of pssMps (re)started continuously at zero if the Lamperti transformed Lévy process is spectrally negative. Our paper can be seen as a continuation of similar studies for continuous state branching processes.


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Leif Döring. Matyas Barczy. "Jump type SDEs for self-similar processes." Electron. J. Probab. 17 1 - 39, 2012.


Accepted: 30 October 2012; Published: 2012
First available in Project Euclid: 4 June 2016

zbMATH: 1286.60036
MathSciNet: MR2994842
Digital Object Identifier: 10.1214/EJP.v17-2402

Primary: 60G18 , 60H15
Secondary: 60G51

Keywords: jump type SDEs , Lamperti's transformation , Lévy process , Self-similar Markov process

Vol.17 • 2012
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