Pure jump increasing processes and the change of variables formula
Marc Yor (Université Pierre et Marie Curie - Paris 6)
Abstract
Given an increasing process $(A_t)_{t\geq 0}$, we characterize the right continuous non-decreasing functions $f: \mathbb{R}_+\to \mathbb{R}_+$ that map $A$ to a pure jump process. As an example of application, we show for instance that functions with bounded variations belong to the domain of the extended generator of any subordinator with no drift and infinite Lévy measure.
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Pages: 1-7
Publication Date: May 30, 2013
DOI: 10.1214/ECP.v18-2700
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