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

MaRDI QIDQ6238036zbMATH OpenFDO

Authors Lev A. Sakhnovich

Publication date 14 December 2012

Mathematics Subject Classification ID

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

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

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