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What is Spectral analysis of subordinate Brownian motions in half-line about?

We study one-dimensional Levy processes with Levy-Khintchine exponent psi(xi^2), where psi is a complete Bernstein function. These processes are subordinate Brownian motions corresponding to subordinators, whose Levy measure has completely monotone density; or, equivalently, symmetric Levy processes whose Levy measure has completely monotone density on the positive half-line. Examples include symmetric stable processes and relativistic processes. The main result is a formula for the generalized eigenfunctions of transition operators of the process killed after exiting the half-line. A generalized eigenfunction expansion of the transition operators is derived. As an application, a formula for the distribution of the first passage time (or the supremum functional) is obtained.

Author

Kwasnicki, Mateusz

Published

2010

Language

EN