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

DOI10.3150/12-BEJ441zbMATH Open1301.60092arXiv1312.3091MaRDI QIDQ2435232FDOQ2435232

Authors: Alexander Schnurr 

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We introduce the probabilistic symbol for the class of homogeneous diffusions with jumps (in the sense of Jacod/Shiryaev). This concept generalizes the well-known characteristic exponent of a L'{e}vy process. Using the symbol, we introduce eight indices which generalize the Blumenthal-Getoor index $$ and the Pruitt index $delta$. These indices are used afterwards to obtain growth and H"{o}lder conditions of the process. In the future, the technical main results will be used to derive further fine properties. Since virtually all examples of homogeneous diffusions in the literature are Markovian, we construct a process which does not have this property.

Full work available at URL: https://arxiv.org/abs/1312.3091

Recommendations

• Rate-optimal estimation of the Blumenthal-Getoor index of a Lévy process
• Distributions of functionals of diffusions with jumps
• scientific article; zbMATH DE number 5029465
• Approximation of the invariant distribution for a class of ergodic jump diffusions
• scientific article; zbMATH DE number 6423690
• Distribution of functionals of special diffusions with jumps
• On multidimensional diffusion processes with jumps
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Ergodicity for multidimensional jump diffusions with position dependent jump rate
• Distributions of functionals of bridges of diffusions with jumps

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+process&go=Go It�� process]semimartingaleFeller processsymbolsample path propertiesCOGARCH processgeneralized indicesfine continuityfine propertieshomogeneous diffusions

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• The growth of random walks and Levy processes
• Growth and Hölder conditions for the sample paths of Feller processes
• Finely harmonic functions
• Pseudo differential operators and Markov processes. In 3 vol. Vol. 1: Fourier analysis and semigroups
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Uniqueness in law for pure jump Markov processes
• Stable-like processes: Construction of the transition density and the behavior of sample paths near \(t=0\)
• Semimartingales and Markov processes
• Characteristic functions and symbols in the theory of Feller processes
• The symbol associated with the solution of a stochastic differential equation
• Title not available (Why is that?)
• Conservativeness and extensions of Feller semigroups
• A classification of deterministic Hunt processes with some applications
• The symbol of a Markov semimartingale.
• On the semimartingale nature of Feller processes with killing
• Feller processes generated by pseudo-differential operators: On the Hausdorff dimension of their sample paths
• On Deterministic Markov Processes: Expandability and Related Topics
• The COGARCH: a review, with news on option pricing and statistical inference
• COGARCH: Symbol, Generator and Characteristics

Cited In (12)

• On the rôle of singular functions in extending the probabilistic symbol to its most general class
• From Markov processes to semimartingales
• Time change equations for Lévy-type processes
• Operator-stable-like processes
• The time-dependent symbol of a non-homogeneous Itô process and corresponding maximal inequalities
• Maximal inequalities and some applications
• Anomalous diffusion index for Lévy motions
• Laplace symbols and invariant distributions
• Smooth properties for semigroups of Lévy processes and their application
• A criterion for invariant measures of Itô processes based on the symbol
• The fourth characteristic of a semimartingale
• Short-time behavior of solutions to Lévy-driven stochastic differential equations

This page was built for publication: Generalization of the Blumenthal-Getoor index to the class of homogeneous diffusions with jumps and some applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2435232)