A jump-type SDE approach to real-valued self-similar Markov processes

Abstract

In his 1972 paper, John Lamperti characterized all positive self-similar Markov processes as time-changes of exponentials of Lévy processes. In the past decade the problem of representing all non-negative self-similar Markov processes that do not necessarily have zero as a trap has been solved gradually via connections to ladder height processes and excursion theory. Motivated by a recent article of Chaumont, Panti, and Rivero, we represent via jump-type SDEs the symmetric real-valued self-similar Markov processes that only decrease the absolute value by jumps and leave zero continuously. Our construction of these self-similar processes involves a pseudo excursion construction and singular stochastic calculus arguments ensuring that solutions to the SDEs spend zero time at zero to avoid problems caused by a “bang-bang” drift.