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Self-similar Markov processes issued near the origin

Le : 04/06/2018 11h00
Par : Weerapat Satitkanitkul
Lieu : i103
Lien web :
Résumé : A self-similar Markov process is a standard Markov process that has a scaling property. According to the work of Lamperti (1962), the scaling property arises as a natural result of taking a limit of a stochastic process. In this talk, we will explore the behaviour of a self-similar Markov process starting near the origin. We will show how we can get a better understanding by conditioning it to avoid the origin. This talk is based on joint work with Andreas Kyprianou and Victor Rivero.