Perpetual integrals via random time changes

DOI10.3150/18-BEJ1034zbMATH Open1466.60149arXiv1705.02830WikidataQ127703263 ScholiaQ127703263MaRDI QIDQ2419656FDOQ2419656

Authors: Franziska Kühn 

Publication date: 14 June 2019

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We show that the SDE $d{X}_t=sigma(X_{t-}),d{L}_t$, $X_{0}simmu$ driven by a one-dimensional symnmetric $alpha$-stable L'evy process $(L_t{)}_{tgeq0}$, $alphain(0,2]$, has a unique weak solution for any continuous function $sigma:mathbbRo(0,infty)$ which grows at most linearly. Our approach relies on random time changes of Feller processes. We study under which assumptions the random-time change of a Feller process is a conservative $C_b$-Feller process and prove the existence of a class of Feller processes with decomposable symbols. In particular, we establish new existence results for Feller processes with unbounded coefficients. As a by-product, we obtain a sufficient condition in terms of the symbol of a Feller process $(X_t{)}_{tgeq0}$ for the perpetual integral $in{t}_{(0,infty)}f(X_s),ds$ to be infinite almost surely.

Full work available at URL: https://arxiv.org/abs/1705.02830

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zbMATH Keywords

conservativenessFeller processrandom time changeperpetual integralLévy process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Jump processes on general state spaces (60J76)

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Cited In (9)

• On absolute continuity and singularity of multidimensional diffusions
• Maximal inequalities and some applications
• On the explosion of the number of fragments in simple exchangeable fragmentation-coagulation processes
• Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
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• Spectral analysis of a class of Lévy-type processes and connection with some spin systems
• Feller generators with measurable lower order terms

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