Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications (Q2435232)

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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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