24 research outputs found
On the harmonic measure of stable processes
Using three hypergeometric identities, we evaluate the harmonic measure of a
finite interval and of its complementary for a strictly stable real L{\'e}vy
process. This gives a simple and unified proof of several results in the
literature, old and recent. We also provide a full description of the
corresponding Green functions. As a by-product, we compute the hitting
probabilities of points and describe the non-negative harmonic functions for
the stable process killed outside a finite interval
Potentials of stable processes
For a stable process, we give an explicit formula for the potential measure
of the process killed outside a bounded interval and the joint law of the
overshoot, undershoot and undershoot from the maximum at exit from a bounded
interval. We obtain the equivalent quantities for a stable process reflected in
its infimum. The results are obtained by exploiting a simple connection with
the Lamperti representation and exit problems of stable processes.Comment: 10 page