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Article Dans Une Revue Electronic Communications in Probability Année : 2013

Pure jump increasing processes and the change of variables formula

Résumé

Given an increasing process (A(t))(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 Levy measure.

Dates et versions

hal-00932731 , version 1 (17-01-2014)

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Citer

J. Bertoin, Marc Yor. Pure jump increasing processes and the change of variables formula. Electronic Communications in Probability, 2013, 18 (41), pp.1-7. ⟨10.1214/ECP.v18-2700⟩. ⟨hal-00932731⟩
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