Stable processes with reflections

Krzysztof Bogdan and Markus Kunze

Stochastic Processes and their Applications, 2025, vol. 187, issue C

Abstract: 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.

Keywords: Stable process; Reflection; Fractional Laplacian; Stationary distribution (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.spa.2025.104654

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