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  • Search: subject:"Exponential functionals of Lévy processes"
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Exponential functionals of Lévy processes 1 Extreme value theory 1 Lévy processes 1 Quasi-stationary distributions 1 Self-similar Markov processes 1 Yaglom limits 1
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Haas, Bénédicte 1 Rivero, Víctor 1
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Stochastic Processes and their Applications 1
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Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
Haas, Bénédicte; Rivero, Víctor - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 4054-4095
We discuss the existence and characterization of quasi-stationary distributions and Yaglom limits of self-similar Markov processes that reach 0 in finite time. By Yaglom limit, we mean the existence of a deterministic function g and a non-trivial probability measure ν such that the process...
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