Levy processes with summable Levy measures, long time behavior

MaRDI QIDQ6250031zbMATH OpenFDO

Authors Lev A. Sakhnovich

Publication date 20 March 2014

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Linear integral equations (45A05) Probabilistic potential theory (60J45)

Abstract: In our previous paper (ArXiv:1306.1492) we have proved that a representation of the infinitesimal generators $L$ for Levy processes $X_t$ can be written down in a convolution type form. For the case of non-summable Levy measures we constructed the quasi-potential operators $B$ and investigated the long time behavior of $X_t$. In the present paper we consider Levy processes $X_t$ with summable Levy measures. In this case the form of the quasi-potential operators $B$ essentially differs from the form in the case of non-summable Levy measures. We use this new form in order to study the long time behavior of $X_t$ for the case of summable Levy measures.

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