Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications (Q2435232): Difference between revisions
From MaRDI portal
Latest revision as of 08:23, 7 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications |
scientific article |
Statements
Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications (English)
0 references
4 February 2014
0 references
The `symbol' of a process is defined as the state-dependent right derivative at \(t = 0\) of the characteristic function and is used in turn to define four `indices at the origin' and four `indices at infinity' for the process. The main result is a characterization of sample path asymptotics for homogeneous diffusions as time tends to zero, resp.\ infinity, in terms of these indices. Examples and related results are provided. A separate contribution is a construction of a homogeneous diffusion that is not Markov.
0 references
homogeneous diffusions
0 references
symbol
0 references
generalized indices
0 references
sample path properties
0 references
COGARCH process
0 references
Feller process
0 references
fine continuity
0 references
fine properties
0 references
Itō process
0 references
semimartingale
0 references
0 references
0 references
0 references
