Abstract
A representation of the potential operator of an absorbing Lévy process in the half space (0, ∞) × Rd - 1, d ≥ 2, is given in terms of three measures μ, over(μ, ̂) and over(μ, ̇) on [0, ∞) × Rd - 1 arising in the fluctuation theory of Lévy processes. In the case of a rotation invariant stable Lévy process, the potential kernel in the half space is computed explicitly. It will also be proved that the measure over(μ, ̂) is an excessive measure (an invariant measure under some conditions) of a Markov process, which is derived from the given Lévy process in a certain way.
Original language | English |
---|---|
Pages (from-to) | 199-212 |
Number of pages | 14 |
Journal | Stochastic Processes and their Applications |
Volume | 118 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2008 Feb |
Externally published | Yes |
Keywords
- Absorbing Lévy process
- Fluctuation theory
- Lévy process
- Potential operator
- Rotation invariant stable Lévy process
ASJC Scopus subject areas
- Statistics and Probability
- Modelling and Simulation
- Applied Mathematics