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The area of a self-similar fragmentation

Abstract

We consider the area A=\int_0^{\infty}\left(\sum_{i=1}^{\infty} X_i(t)\right) \d t of a self-similar fragmentation process \X=(\X(t), t\geq 0) with negative index. We characterize the law of AA by an integro-differential equation. The latter may be viewed as the infinitesimal version of a recursive distribution equation that arises naturally in this setting. In the case of binary splitting, this yields a recursive formula for the entire moments of AA which generalizes known results for the area of the Brownian excursion

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