Computing harmonic measures for the Lévy stable process

Stochastic Analysis Seminar Series

 

Abstract:In the first part of the talk, using classical hypergeometric identities, I will compute the harmonic measure of finite intervals and their complementaries for the Lévy stable process on the line. This gives a simple and unified proof of several results by Blumenthal-Getoor-Ray, Rogozin, and Kyprianou-Pardo-Watson. In the second part of the talk, I will consider the two-dimensional Markov process based on the stable Lévy process and its area process. I will give two explicit formulae for the harmonic measure of the split complex plane. These formulae allow to compute the persistence exponent of the stable area process, solving a problem raised by Zhan Shi. This is based on two joint works with Christophe Profeta.

 

 

 

 

 

Location:
Speaker(s):

Thomas Simon (University of Lille 1)

Date:
Monday, October 19, 2015 - 15:45
to 16:45