Retour à la liste de tous les séminaires

A Jump Diffusion Approach to Positive Self-Similar Markov Processes.

Le : 07/11/2011 11h00
Par : Leif DOERING (LPMA, Paris 6)
Lieu : I 103
Lien web :
Résumé : Positive self-similar Markov processes (pssMp) have been studied frequently in the past decade. The typical approach is a mixture of Lamperti's transformation and additional Lévy process theory. In this talk I will present a different approach for which we first reformulate Lamperti's transformation in terms of jump-type stochastic differential equations. Transformed in a rather trivial fashion those allow subsequently the study of the behavior of pssMps at zero. The main difficulty of this approach is to prove strong uniqueness for those SDEs which seems to be a non-trivial task.