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arxiv: 1101.3965 · v1 · pith:CDT4YDMXnew · submitted 2011-01-20 · 🧮 math.PR

The area of a self-similar fragmentation

classification 🧮 math.PR
keywords areaequationfragmentationinftyrecursiveself-similararisesbinary
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We consider the area $A=\int_0^{\infty}\left(\sum_{i=1}^{\infty} X_i(t)\right) \d t$ of a self-similar fragmentation process $\X=(\X(t), t\geq 0)$ with negative index. We characterize the law of $A$ by an integro-differential equation. The latter may be viewed as the infinitesimal version of a recursive distribution equation that arises naturally in this setting. In the case of binary splitting, this yields a recursive formula for the entire moments of $A$ which generalizes known results for the area of the Brownian excursion.

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