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