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On a skew stable Lévy process (Lecture 3)

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SSD - Stochastic systems for anomalous diffusion

The skew Brownian motion is a strong Markov process which behaves like a Brownian motion until hitting zero and exhibits an asymmetry at zero. We address the following question: what is a natural counterpart of the skew Brownian motion in the situation that an underlying Brownian motion is replaced with a stable Lévy process with finite mean and infinite variance. We define a skew stable Lévy process X as a limit of a sequence of stable Lévy processes which are perturbed at zero. We derive a formula for the resolvent of X and show that X is a solution to a stochastic differential equation with a local time.

This talk is part of the Isaac Newton Institute Seminar Series series.

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FW26, William Gates Building. Zoom link: https://cl-cam-ac-uk.zoom.us/j/4361570789?pwd=Nkl2T3ZLaTZwRm05bzRTOUUxY3Q4QT09&from=addon Institute of Theoretical Geophysics Informal Lunchtime Seminars (DAMTP) BP Institute

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