On the semimartingale nature of Feller processes with killing
AbstractLet U be an open set in Rd. We show that under a mild assumption on the richness of the generator, a Feller process in (U,B(U)) with (predictable) killing is a semimartingale. To this end, we generalize the notion of semimartingales in a natural way to those ‘with killing’. Furthermore we calculate the semimartingale characteristics of the Feller process explicitly and analyze their connections to the symbol. Finally we derive a probabilistic formula for calculating the symbol of the process.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 7 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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