From Markov processes to semimartingales

DOI10.1214/23-PS19zbMATH Open1525.60102arXiv2211.15499OpenAlexW4379053331MaRDI QIDQ6168534FDOQ6168534

Authors: Alexander Schnurr 

Publication date: 9 August 2023

Published in: Probability Surveys (Search for Journal in Brave)

Abstract: In the development of stochastic integration and the theory of semimartingales, Markov processes have been a constant source of inspiration. Despite this historical interweaving, it turned out that semimartingales should be considered the `natural' class of processes for many concepts first developed in the Markovian framework. As an example, stochastic differential equations have been invented as a tool to study Markov processes but nowadays are treated separately in the literature. Moreover, the killing of processes has been known for decades before it made its way to the theory of semimartingales most recently. We describe, when these and other important concepts have been invented in the theory of Markov processes and how they were transferred to semimartingales. Further topics include the symbol, characteristics and generalizations of Blumenthal-Getoor indices. Some additional comments on relations between Markov processes and semimartingales round out the paper.

Full work available at URL: https://arxiv.org/abs/2211.15499

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zbMATH Keywords

Markov processgeneratorstochastic differential equationskillingsemimartingale characteristicsLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17) Jump processes on general state spaces (60J76)

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Cited In (5)

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