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Pure jump increasing processes and the change of variables formula


Bertoin, Jean; Yor, Marc (2013). Pure jump increasing processes and the change of variables formula. Electronic Communications in Probability, 18(41):1-7.

Abstract

Given an increasing process (At)t≥0, we characterize the non-decreasing right-continuous functions f: R+ → R+ that map A to a pure-jump process. As an example of application, we show for instance that functions with bounded variation belong to the domain of the extended generator of any subordinator with no drift and infinite Lévy measure.

Abstract

Given an increasing process (At)t≥0, we characterize the non-decreasing right-continuous functions f: R+ → R+ that map A to a pure-jump process. As an example of application, we show for instance that functions with bounded variation belong to the domain of the extended generator of any subordinator with no drift and infinite Lévy measure.

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1 citation in Web of Science®
1 citation in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:30 May 2013
Deposited On:22 Nov 2013 11:30
Last Modified:05 Apr 2016 17:10
Publisher:Institute of Mathematical Statistics
ISSN:1083-589X
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1214/ECP.v18-2700

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