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

DOI10.3150/12-BEJ441MaRDI QIDQ2435232zbMATH OpenFDO

Authors Alexander Schnurr

Publication date 4 February 2014

Published in Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

semimartingaleFeller processsymbolsample path propertiesCOGARCH processgeneralized indicesfine continuityfine propertieshomogeneous diffusionsItō process

Mathematics Subject Classification ID

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

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.

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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

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