Quasi-stationary distributions and Yaglom limits of self-similar Markov processes

Bénédicte Haas and Víctor Rivero

Stochastic Processes and their Applications, 2012, vol. 122, issue 12, 4054-4095

Abstract: We discuss the existence and characterization of quasi-stationary distributions and Yaglom limits of self-similar Markov processes that reach 0 in finite time. By Yaglom limit, we mean the existence of a deterministic function g and a non-trivial probability measure ν such that the process rescaled by g and conditioned on non-extinction converges in distribution towards ν. We will see that a Yaglom limit exists if and only if the extinction time at 0 of the process is in the domain of attraction of an extreme law and we will then treat separately three cases, according to whether the extinction time is in the domain of attraction of a Gumbel, Weibull or Fréchet law. In each of these cases, necessary and sufficient conditions on the parameters of the underlying Lévy process are given for the extinction time to be in the required domain of attraction. The limit of the process conditioned to be positive is then characterized by a multiplicative equation which is connected to a factorization of the exponential distribution in the Gumbel case, a factorization of a Beta distribution in the Weibull case and a factorization of a Pareto distribution in the Fréchet case.

Keywords: Self-similar Markov processes; Lévy processes; Yaglom limits; Quasi-stationary distributions; Extreme value theory; Exponential functionals of Lévy processes (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:12:p:4054-4095

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DOI: 10.1016/j.spa.2012.08.006

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