Weak convergence of positive self-similar Markov processes and overshoots of Lévy processes

Abstract

Using Lamperti's relationship between Lévy processes and positive self-similar Markov processes (pssMp), we study the weak convergence of the law ${\mathbb{P}}_x$ of a pssMp starting at $x>0$, in the Skorohod space of càdlàg paths, when $x$ tends to 0. To do so, we first give conditions which allow us to construct a càdlàg Markov process $X^{(0)}$, starting from 0, which stays positive and verifies the scaling property. Then we establish necessary and sufficient conditions for the laws ${\mathbb{P}}_x$ to converge weakly to the law of $X^{(0)}$ as $x$ goes to 0. In particular, this answers a question raised by Lamperti [Z. Wahrsch. Verw. Gebiete 22 (1972) 205--225] about the Feller property for pssMp at $x=0$.

Published at http://dx.doi.org/10.1214/009117905000000611 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)