The Lamperti representation of real-valued self-similar Markov processes

TL;DR

This paper develops a Lamperti type representation for real-valued self-similar Markov processes killed at zero, expressing them as time-changed multiplicative invariant processes, and provides explicit examples of the underlying process characteristics.

Contribution

It extends Lamperti's representation to real-valued processes killed at zero, completing and building upon previous foundational work.

Findings

Derived a new representation for real-valued self-similar Markov processes

Characterized the underlying processes explicitly in certain cases

Connected the representation to existing theoretical frameworks

Abstract

In this paper, we obtain a Lamperti type representation for real-valued self-similar Markov processes, killed at their hitting time of zero. Namely, we represent real-valued self-similar Markov processes as time changed multiplicative invariant processes. Doing so, we complete Kiu's work [Stochastic Process. Appl. 10 (1980) 183-191], following some ideas in Chybiryakov [Stochastic Process. Appl. 116 (2006) 857-872] in order to characterize the underlying processes in this representation. We provide some examples where the characteristics of the underlying processes can be computed explicitly.