Markov property of monotone Lévy processes

Details Markov property of monotone Lévy processes Markov property of monotone Lévy processes

2004-01-28

arxiv.org/abs/math/0401390v1

Mathematics

Probability

21 pages

Scientific paper

Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine formula. Monotone L\'evy processes turn out to be related to classical L\'evy processes via Attal's ``remarkable transformation.'' A monotone analogue of the family of exponential martingales associated to a classical L\'evy process is also defined.

Affiliated with

Also associated with

No associations

Rating

Markov property of monotone Lévy processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Markov property of monotone Lévy processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Markov property of monotone Lévy processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-588080