Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155760 | Stochastic Processes and their Applications | 2012 | 10 Pages |
Abstract
In this paper, Hunt’s hypothesis (H) and Getoor’s conjecture for Lévy processes are revisited. Let XX be a Lévy process on Rn with Lévy–Khintchine exponent (a,A,μ)(a,A,μ). First, we show that if AA is non-degenerate then XX satisfies (H). Second, under the assumption that μ(Rn∖ARn)<∞, we show that XX satisfies (H) if and only if the equation Ay=−a−∫{x∈Rn∖ARn:|x|<1}xμ(dx),y∈Rn, has at least one solution. Finally, we show that if XX is a subordinator and satisfies (H) then its drift coefficient must be 0.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Ze-Chun Hu, Wei Sun,