Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
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DOI: 10.1016/j.spa.2012.08.006
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- Geluk, J. L., 1996. "On the domain of attraction of exp(-exp(-x))," Statistics & Probability Letters, Elsevier, vol. 31(2), pages 91-95, December.
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Cited by:
- Zbigniew Palmowski & Maria Vlasiou, 2020. "Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues," Queueing Systems: Theory and Applications, Springer, vol. 96(1), pages 153-167, October.
- Arista, Jonas & Rivero, Víctor, 2023. "Implicit renewal theory for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 262-287.
- Castro, Matheus M. & Lamb, Jeroen S.W. & Olicón-Méndez, Guillermo & Rasmussen, Martin, 2024. "Existence and uniqueness of quasi-stationary and quasi-ergodic measures for absorbing Markov chains: A Banach lattice approach," Stochastic Processes and their Applications, Elsevier, vol. 173(C).
- Bertoin, Jean, 2019. "Ergodic aspects of some Ornstein–Uhlenbeck type processes related to Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1443-1454.
- Kyprianou, Andreas E. & Rivero, Victor & Şengül, Batı, 2017. "Conditioning subordinators embedded in Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1234-1254.
- Leżaj, Łukasz, 2024. "Non-symmetric stable processes: Dirichlet heat kernel, Martin kernel and Yaglom limit," Stochastic Processes and their Applications, Elsevier, vol. 174(C).
- Czarna, Irmina & Palmowski, Zbigniew, 2017. "Parisian quasi-stationary distributions for asymmetric Lévy processes," Statistics & Probability Letters, Elsevier, vol. 127(C), pages 75-84.
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Keywords
Self-similar Markov processes; Lévy processes; Yaglom limits; Quasi-stationary distributions; Extreme value theory; Exponential functionals of Lévy processes;All these keywords.
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