Translator Disclaimer
2013 Pure jump increasing processes and the change of variables formula
Jean Bertoin, Marc Yor
Author Affiliations +
Electron. Commun. Probab. 18: 1-7 (2013). DOI: 10.1214/ECP.v18-2700

Abstract

Given an increasing process $(A_t)_{t\geq 0}$, we characterize the right continuous non-decreasing functions $f: \mathbb{R}_+\to \mathbb{R}_+$ that map $A$ to a pure jump process. As an example of application, we show for instance that functions with bounded variations belong to the domain of the extended generator of any subordinator with no drift and infinite Lévy measure.

Citation

Download Citation

Jean Bertoin. Marc Yor. "Pure jump increasing processes and the change of variables formula." Electron. Commun. Probab. 18 1 - 7, 2013. https://doi.org/10.1214/ECP.v18-2700

Information

Accepted: 30 May 2013; Published: 2013
First available in Project Euclid: 7 June 2016

zbMATH: 1306.60120
MathSciNet: MR3070907
Digital Object Identifier: 10.1214/ECP.v18-2700

Subjects:
Primary: 60J75
Secondary: 60G51, 60J35

JOURNAL ARTICLE
7 PAGES


SHARE
Back to Top