ON THE EXACT ASYMPTOTICS OF EXIT TIME FROM A CONE OF AN ISOTROPIC alpha-SELF-SIMILAR MARKOV PROCESS WITH A SKEW-PRODUCT STRUCTURE

Palmowski, Z; Wang, LM

Palmowski, Z (corresponding author), Wroclaw Univ Sci & Technol, Fac Pure & Appl Math, Wybrzeze Wyspianskiego 27, PL-50370 Wroclaw, Poland.

PROBABILITY AND MATHEMATICAL STATISTICS-POLAND, 2021; 41 (1): 25

Abstract

In this paper we identify the asymptotic tail of the distribution of the exit time tau(C) from a cone C of an isotropic alpha-self-similar Markov proc......

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