The hitting time of zero for a stable process

Abstract

For any α-stable Lévy process with jumps on both sides, where α ∈ (1, 2), we find the Mellin transform of the first hitting time of the origin and give an expression for its density. This complements existing work in the symmetric case and the spectrally one-sided case; cf. [38, 19] and [33, 36], respectively. We appeal to the Lamperti-Kiu representation of Chaumont et al. [16] for real-valued self-similar Markov processes. Our main result follows by considering a vector-valued functional equation for the Mellin transform of the integrated exponential Markov additive process in the Lamperti-Kiu representation. We conclude our presentation with some applications.