Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications (Q2435232): Difference between revisions
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications |
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Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications (English)
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4 February 2014
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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.
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homogeneous diffusions
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symbol
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generalized indices
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sample path properties
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COGARCH process
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Feller process
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fine continuity
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fine properties
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Itō process
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semimartingale
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