Convolution type form of the Ito representation of the infinitesimal generator for Levy processes

arXiv1212.3603MaRDI QIDQ6238036FDOQ6238036

Publication date: 14 December 2012

Abstract: In the present paper we show that the Ito representation of the infinitesimal generator

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for Levy processes can be written in a convolution type form. Using the obtained convolution form and the theory of integral equations with difference kernels we study the properties of Levy processes.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Linear integral equations (45A05) Probabilistic potential theory (60J45)

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