On the parabolic generator of a general one-dimensional Lévy process

DOI10.1214/ECP.V13-1366MaRDI QIDQ1038873zbMATH OpenOpenAlexFDO

Authors Nathalie Eisenbaum, A. E. Kyprianou

Publication date 20 November 2009

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/226466, http://www.emis.de/journals/EJP-ECP/_ejpecp/ECP/viewarticle2cba.html

zbMATH Keywords

Itô formulalocal time-spaceparabolic generatorstochastic calculus

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Local time and additive functionals (60J55)

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Cited in

(7)

• Extended Itô calculus for symmetric Markov processes
• Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
• An optimal stopping problem for spectrally negative Markov additive processes
• Quickest drift change detection in Lévy-type force of mortality model
• Stochastic integration with respect to additive functionals of zero quadratic variation
• Local time-space calculus for symmetric Lévy processes
• On hypoellipticity of generators of Lévy processes

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