Tanaka formula for strictly stable processes

DOI10.19195/0208-4147.39.1.3MaRDI QIDQ5227566zbMATH OpenOpenAlexFDO

Authors Hiroshi Tsukada

Publication date 6 August 2019

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.00595

zbMATH Keywords

local timestable processItô's stochastic calculus

Mathematics Subject Classification ID

Brownian motion (60J65) Stable stochastic processes (60G52) Local time and additive functionals (60J55) Jump processes on general state spaces (60J76)

Abstract: For symmetric L'evy processes, if the local times exist, the Tanaka formula has already constructed via the techniques in the potential theory by Salminen and Yor (2007). In this paper, we study the Tanaka formula for arbitrary strictly stable processes with index $alphain(1,2)$ including spectrally positive and negative cases in a framework of It^o's stochastic calculus. Our approach to the existence of local times for such processes is different from Bertoin (1996).

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Cited in

(8)

• Tanaka Formula for Symmetric Lévy Processes
• A Meyer-Itô formula for stable processes via fractional calculus
• The Tanaka formula for symmetric stable processes with index \(\alpha\), \(0<\alpha<2\)
• On Tanaka formulae for \((\alpha, d,\beta)\)-superprocesses
• A potential theoretic approach to Tanaka formula for asymmetric Lévy processes
• Tanaka formulae for (, d, )-superprocesses
• Stochastic processes. Selected papers of Hiroshi Tanaka
• Local time and Tanaka formula of \(G\)-martingales

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