On the parabolic generator of a general one-dimensional Lévy process

Nathalie Eisenbaum (CNRS)
Andreas Kyprianou (University of Bath)

Abstract


The purpose of this note is twofold. Firstly to complete a recent accumulation of results concerning extended version of Ito's formula for any one dimensional Lévy processes, $X$. Secondly, we use the latter to characterise the parabolic generator of $X$, \[ {\bf A}:= \left\{ (f,g) : f(X_\cdot,\cdot) - \int_0^\cdot g(X_s, s)ds \text{ is a local martingale} \right\}. \] We also establish a necessary condition for a pair of functions to be in the domain of the parabolic generator when $X$ has a Gaussian component.

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Pages: 198-209

Publication Date: April 9, 2008

DOI: 10.1214/ECP.v13-1366

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