Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

The entrance laws of self-similar Markov processes and exponential functionals of LÚvy processes

Auteur(s):

Code(s) de Classification MSC:

RÚsumÚ: We consider the asymptotic behavior of semi-stable Markov processes valued in $]0,\infty[$ when the starting point tends to $0$. The entrance distribution is expressed in terms of the exponential functional of the underlying L\'evy process which appears in Lamperti's representation of a semi-stable Markov process.

Mots ClÚs: Semi-stable Markov process ; entrance distribution ; LÚvy process ; exponential functional

Date: 2001-01-09

Prépublication numéro: PMA-634