On the exact asymptotics of exit time from a cone of an isotropic $\alpha$-self-similar Markov process with a skew-product structure

• Main Authors: Palmowski, Zbigniew, Wang, Longmin
• Format: Journal Article
• Language: English
• Published: 02.10.2016
• Subjects: Mathematics - Probability
• DOI: 10.48550/arxiv.1610.00358

In this paper we identify the asymptotic tail of the distribution of the exit time $\tau_C$ from a cone $C$ of an isotropic $\alpha$-self-similar Markov process $X_t$ with a skew-product structure, that is $X_t$ is a product of its radial process and independent time changed angular component $\Theta_t$. Under some additional regularity assumptions, the angular process $\Theta_t$ killed on exiting from the cone $C$ has the transition density that could be expressed in terms of a complete set of orthogonal eigenfunctions with corresponding eigenvalues of an appropriate generator. Using this fact and some asymptotic properties of the exponential functional of a killed L\'evy process related with Lamperti representation of the radial process, we prove that $$\mathbb{P}_x(\tau_C>t)\sim h(x)t^{-\kappa_1}$$ as $t\rightarrow\infty$ for $h$ and $\kappa_1$ identified explicitly. The result extends the work of DeBlassie (1988) and Ba\~nuelos and Smits (1997) concerning the Brownian motion.