Processus de L{\'e}vy avec changements de rythmes
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Publication:6282084
Abstract: This paper introduces Switching Processes, called SP. Their constructions are inspired by the PDMP's ones (PDMP stands for Piecewise Deterministic Markov Process). A Markov process, called the intrinsic process, replaces the PDMP's flow. Jumps are added ; they occur randomly as their locations ; their distributions depend on the process's trajectory between them. When the intrinsic process is a Levy process, thanks to its L{'e}vy-It{^o} decomposition as a semi-martingale, we obtain the expected Kolmogorov equations for the SP. The results are extended to It{^o}-L{'e}vy processes, in particular to diffusion processes.
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