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

Abstract

Using Lamperti's relationship between Levy processes and positive selfsimilar Markov processes (pssMp), we study the weak convergence of the law 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 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. © Institute of Mathematical Statistics, 2006.