Time change equations for Levy-type processes



Kruehner, Paul and Schnurr, Alexander
(2018) Time change equations for Levy-type processes. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 128 (3). pp. 963-978.

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Abstract

In this paper we analyse time change equations (TCEs) for L\'evy-type processes in detail. To this end we establish a connection between TCEs and classical one-dimensional initial value problems (IVPs) which are easier to handle. Properties of the IVPs are linked with properties of the TCEs. We show in a general setting existence and uniqueness of solutions of the TCEs. Our main result is based on the general path properties for L\'evy-type processes found in Schnurr (2013). Applications include an existence result for processes which correspond to a certain class of given symbols.

Item Type: Article
Uncontrolled Keywords: Levy-type process, Symbol, Random time change, Multiplicative perturbation
Depositing User: Symplectic Admin
Date Deposited: 17 Jan 2019 09:08
Last Modified: 19 Jan 2023 01:06
DOI: 10.1016/j.spa.2017.06.011
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3031309