Martingale nature and laws of the iterated logarithm for Markov processes of pure-jump type

DOI10.1007/S10959-020-01035-8MaRDI QIDQ2664530zbMATH OpenOpenAlexFDO

Publication date 17 November 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.04534

Feller process hunt process jumping kernel law of iterated logarithm lower bounded semi-Dirichlet form martingale

Integro-differential operators (47G20) Stable stochastic processes (60G52) Jump processes on discrete state spaces (60J74)

Abstract: We present sufficient conditions, in terms of the jumping kernels, for two large classes of conservative Markov processes of pure-jump type to be purely discontinuous martingales with finite second moment. As an application, we establish the law of the iterated logarithm for sample paths of the associated processes.

Review text

Consider an \({\mathbb R}^d\)-valued time-homogeneous Markov process \((X_t)_{t\geq 0}\) with Feller generator \(L\) of the form \[ Lu(x) = \int_{{\mathbb R}^d \setminus \{ 0 \} } ( u(x+z)-u(x) - \langle \nabla u(x),z\rangle {\mathbf 1}_{\{ |z|<1\}} ) N(x,dz), \] where the Lévy measure \(N(x,dz)\) satisfies \[ \sup_{x\in {\mathbb R}^d } \int_{{\mathbb R}^d \setminus \{ 0 \} } |z|^2 N(x,dz) < \infty. \] The authors show that under the condition \[ \int_{\{ |z| \geq 1\} } z^{(i)} N(x,dz) =0, \qquad 1 \leq i \leq d, \] the process \((X_t)_{t\geq 0}\) is a purely discontinuous martingale with finite second moments. A law of the iterated logarithm for the sample paths of \((X_t)_{t\geq 0}\) is deduced as an application.

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