Header

UZH-Logo

Maintenance Infos

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.

Statistics

Citations

Dimensions.ai Metrics
1 citation in Web of Science®
1 citation in Scopus®
1 citation in Microsoft Academic
Google Scholar™

Altmetrics

Downloads

62 downloads since deposited on 22 Nov 2013
13 downloads since 12 months
Detailed statistics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Scopus Subject Areas:Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Language:English
Date:30 May 2013
Deposited On:22 Nov 2013 11:30
Last Modified:30 Jul 2020 10:37
Publisher:Institute of Mathematical Statistics
ISSN:1083-589X
OA Status:Green
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1214/ECP.v18-2700

Download

Green Open Access

Download PDF  'Pure jump increasing processes and the change of variables formula'.
Preview
Content: Published Version
Language: English
Filetype: PDF
Size: 209kB
View at publisher