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Mladen Savov, Oxford U. Print
Friday, 26 March 2010, 16:30 - 17:30

Some Applications of Duality for Levy Processes in a Half-Line

Mladen Savov, University of Oxford

Abstract: The central topic of this talk is an analytic duality relation for real-valued Levy processes killed upon exiting a half-line. By Nagasawa's theorem, this yields a time-reversal identity involving the Levy process conditioned to stay positive. As examples of applications, we construct a version of the Levy process indexed by the entire real line and started from -infiniity which enjoys a natural spatial stationarity property, and point out that the latter leads to a natural Lamperti-type representation for self-similar Markov processes in (0;1) started from the entrance point 0+.
Location: Plaine
Contact: Jacqueline Douilly, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it