Recurrence-transience for self-similar additive processes associated with stable distributions

Citation
K. Sato et K. Yamamuro, Recurrence-transience for self-similar additive processes associated with stable distributions, ACT APPL MA, 63(1-3), 2000, pp. 375-384
Citations number
14
Categorie Soggetti
Mathematics
Journal title
ACTA APPLICANDAE MATHEMATICAE
ISSN journal
01678019 → ACNP
Volume
63
Issue
1-3
Year of publication
2000
Pages
375 - 384
Database
ISI
SICI code
0167-8019(200009)63:1-3<375:RFSAPA>2.0.ZU;2-U
Abstract
For any stable distribution mu on the line, recurrence-transience of the se lfsimilar additive process {X-t, t greater than or equal to0} with L(X-1)=m u is determined. Comparison with the stable Levy process {Y-t, t greater th an or equal to0} with L(Y-1)=mu is made: if mu is not strictly stable, then {Y-t} is transient but {X-t} is recurrent except the obviously transient c ase of monotone sample functions.