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

COGARCH processFeller processfine continuityfine propertiesgeneralized indiceshomogeneous diffusionsItō processsample path propertiessemimartingalesymbol

Mathematics Subject Classification ID

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

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.

Review text

The `symbol' of a process is defined as the state-dependent right derivative at \(t = 0\) of the characteristic function and is used in turn to define four `indices at the origin' and four `indices at infinity' for the process. The main result is a characterization of sample path asymptotics for homogeneous diffusions as time tends to zero, resp.\ infinity, in terms of these indices. Examples and related results are provided. A separate contribution is a construction of a homogeneous diffusion that is not Markov.

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Cited in

(13)

• Laplace symbols and invariant distributions
• The fourth characteristic of a semimartingale
• Smooth properties for semigroups of Lévy processes and their application
• Anomalous diffusion index for Lévy motions
• A criterion for invariant measures of Itô processes based on the symbol
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• Limit theorems for stochastic exponentials of matrix-valued Lévy processes

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