Local time-space calculus for symmetric Lévy processes
We construct a stochastic calculus with respect to the local time process of a symmetric Lévy process X without Brownian component. The required assumptions on the Lévy process are satisfied by the symmetric stable processes with index in (1,2). Based on this construction, the explicit decomposition of F(Xt,t) is obtained for F continuous function admitting a Radon-Nikodym derivative and satisfying some integrability condition. This Itô formula provides, in particular, the precise expression of the martingale and the continuous additive functional present in Fukushima's decomposition.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 121 (2011)
Issue (Month): 9 (September)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eisenbaum, Nathalie, 2006. "Local time-space stochastic calculus for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 757-778, May.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:9:p:1982-2013. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.