Article ID Journal Published Year Pages File Type
1155760 Stochastic Processes and their Applications 2012 10 Pages PDF
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)
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