| Título: | Pure jump increasing processes and the change of variables formula |
| Autores: |
Bertoin, Jean; Universität Zürich Yor, Marc; Université Pierre et Marie Curie - Paris 6 |
| Fecha: | 2013-01-03 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Pure jump process, increasing process, change of variables, subordinator, extended infinitesimal generator 60J75; 60G51; 60J35 |
| Descripción: | 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. |
| Idioma: | Inglés |
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