Stable processes with reflection
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866916423565049856 |
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| author | Bogdan, Krzysztof Kunze, Markus |
| author_facet | Bogdan, Krzysztof Kunze, Markus |
| contents | We construct a Hunt process that can be described as an isotropic $α$-stable Lévy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes. It is based on nonlocal Schrödinger perturbations of sub-Markovian transition kernels and the construction of two supermedian functions with different growth rates at infinity. We apply this framework to describe the return distribution and the stationary distribution of the process. To handle the strong Markov property at the reflection time, we introduce a novel ladder process, whose transition semigroup encodes not only the position of the process, but also the number of reflections. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_03516 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stable processes with reflection Bogdan, Krzysztof Kunze, Markus Probability Functional Analysis 60J76, 60J25, 47D06, 60J35 We construct a Hunt process that can be described as an isotropic $α$-stable Lévy process reflected from the complement of a bounded open Lipschitz set. In fact, we introduce a new analytic method for concatenating Markov processes. It is based on nonlocal Schrödinger perturbations of sub-Markovian transition kernels and the construction of two supermedian functions with different growth rates at infinity. We apply this framework to describe the return distribution and the stationary distribution of the process. To handle the strong Markov property at the reflection time, we introduce a novel ladder process, whose transition semigroup encodes not only the position of the process, but also the number of reflections. |
| title | Stable processes with reflection |
| topic | Probability Functional Analysis 60J76, 60J25, 47D06, 60J35 |
| url | https://arxiv.org/abs/2410.03516 |