Bertoin, Jean; Yor, Marc (2013). Pure jump increasing processes and the change of variables formula. Electronic Communications in Probability, 18(41):1-7.
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.
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.
| 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: | 10 Nov 2023 02:42 |
| Publisher: | Institute of Mathematical Statistics |
| ISSN: | 1083-589X |
| OA Status: | Gold |
| Free access at: | Publisher DOI. An embargo period may apply. |
| Publisher DOI: | https://doi.org/10.1214/ECP.v18-2700 |
Bertoin, Jean