| Título: | The Symbol Associated with the Solution of a Stochastic Differential Equation |
| Autores: |
Schilling, Rene L.; Technische Universität Dresden Schnurr, Alexander; Technische Universität Dortmund |
| Fecha: | 2010-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
stochastic differential equation; L'evy process; semimartingale; pseudo-differential operator; Blumenthal-Getoor index; sample path properties 60J75; 47G30; 60H20; 60J25; 60G51; 60G17 |
| Descripción: | We consider stochastic differential equations which are driven by multidimensional Levy processes. We show that the infinitesimal generator of the solution is a pseudo-differential operator whose symbol is calculated explicitely. For a large class of Feller processes many properties of the sample paths can be derived by analysing the symbol. It turns out that the solution of the SDE under consideration is a Feller process if the coefficient of the SDE is bounded and that the symbol is of a particulary nice structure. |
| Idioma: | No aplica |
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