q-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup

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dc.creatorPatie, P.
dc.date2008-01-14
dc.date.accessioned2026-07-07T08:54:21Z
dc.date.available2026-07-07T08:54:21Z
dc.descriptionWe show that the multiplication operator associated to a fractional power of a Gamma random variable, with parameter q>0, maps the convex cone of the 1-invariant functions for a self-similar semigroup into the convex cone of the q-invariant functions for the associated Ornstein-Uhlenbeck (for short OU) semigroup. We also describe the harmonic functions for some other generalizations of the OU semigroup. Among the various applications, we characterize, through their Laplace transforms, the laws of first passage times above and overshoot for certain two-sided stable OU processes and also for spectrally negative semi-stable OU processes. These Laplace transforms are expressed in terms of a new family of power series which includes the generalized Mittag-Leffler functions.
dc.descriptionTo appear in ALEA
dc.identifierhttps://arxiv.org/abs/0801.2111
dc.identifierhttp://arxiv.org/abs/0801.2111
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/145903
dc.subjectProbability
dc.subject31C05, 60G18
dc.titleq-Invariant Functions for Some Generalizations of the Ornstein-Uhlenbeck Semigroup
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