Open Access
2018 Spectral analysis of stable processes on the positive half-line
Alexey Kuznetsov, Mateusz Kwaśnicki
Electron. J. Probab. 23: 1-29 (2018). DOI: 10.1214/18-EJP134
Abstract

We study the spectral expansion of the semigroup of a general stable process killed on the first exit from the positive half-line. Starting with the Wiener-Hopf factorization we obtain the q-resolvent density for the killed process, from which we derive the spectral expansion of the semigroup via the inverse Laplace transform. The eigenfunctions and co-eigenfunctions are given rather explicitly in terms of the double sine function and they give rise to a pair of integral transforms which generalize the classical Fourier sine transform. Our results provide the first explicit example of a spectral expansion of the semigroup of a non-symmetric Lévy process killed on the first exit from the positive half-line.

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Alexey Kuznetsov and Mateusz Kwaśnicki "Spectral analysis of stable processes on the positive half-line," Electronic Journal of Probability 23(none), 1-29, (2018). https://doi.org/10.1214/18-EJP134
Received: 13 December 2016; Accepted: 2 January 2018; Published: 2018
Vol.23 • 2018
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