کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155925 958785 2013 32 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Local time-space calculus for symmetric Lévy processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Local time-space calculus for symmetric Lévy processes
چکیده انگلیسی

We construct a stochastic calculus with respect to the local time process of a symmetric Lévy process XX without Brownian component. The required assumptions on the Lévy process are satisfied by the symmetric stable processes with index in (1,2)(1,2). Based on this construction, the explicit decomposition of F(Xt,t)F(Xt,t) is obtained for FF continuous function admitting a Radon–Nikodym derivative ∂F∂t and satisfying some integrability condition. This Itô formula provides, in particular, the precise expression of the martingale and the continuous additive functional present in Fukushima’s decomposition.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 9, September 2011, Pages 1982–2013
نویسندگان
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