Entrance laws for positive self-similar Markov processes

Abstract: In this paper we propose an alternative construction of the self-similar entrance laws for positive self-similar Markov processes. The study of entrance laws has been carried out in previous papers using different techniques, depending on whether the process hits zero in a finite time almost surely or not. The technique here used allows to obtain the entrance laws in a unified way. Besides, we show that in the case where the process hits zero in a finite time, if there exists a self-similar entrance law, then there are infinitely many, but they can all be embedded into a single one. We propose a pathwise extension of this embedding for self-similar Markov processes. We apply the same technique to construct entrance law for other types self-similar processes.