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SUMMARY:On a skew stable Lévy process (Lecture 3) - Andrey Pilipenko (Nat
 ional Academy of Sciences of Ukraine)
DTSTART:20240802T090000Z
DTEND:20240802T100000Z
UID:TALK218704@talks.cam.ac.uk
DESCRIPTION:The skew Brownian motion is a strong Markov process which beha
 ves 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 mot
 ion is replaced with a stable L&eacute\;vy process with finite mean and in
 finite variance. We define a skew stable L&eacute\;vy process X as a limit
  of a sequence of stable L&eacute\;vy processes which are perturbed at zer
 o. We derive a formula for the resolvent of X and show that X is a solutio
 n to a stochastic differential equation with a local time.
LOCATION:Seminar Room 2\, Newton Institute
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