Tanaka formula for strictly stable processes

IF 0.4 4区数学 Q4 STATISTICS & PROBABILITY

Probability and Mathematical Statistics-Poland Pub Date : 2017-02-02 DOI:10.19195/0208-4147.39.1.3

H. Tsukada

引用次数: 3

Abstract

For symmetric Levy processes, if the local times exist, the Tanaka formula has already been constructed via the techniques in the potential theory by Salminen and Yor 2007. In this paper, we study the Tanaka formula for arbitrary strictly stable processes with index α ∈ 1, 2, including spectrally positive and negative cases in a framework of Ito’s stochastic calculus. Our approach to the existence of local times for such processes is different from that of Bertoin 1996.

查看原文本刊更多论文

严格稳定过程的Tanaka公式

对于对称Levy过程，如果局部时间存在，Tanaka公式已经通过Salminen和Yor 2007的势理论中的技术构造出来。本文在Ito随机微积分的框架下，研究了指数α∈1,2的任意严格稳定过程的Tanaka公式，包括谱正和谱负情况。我们对这类进程是否存在当地时间的看法不同于1996年贝尔托的看法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Probability and Mathematical Statistics-Poland STATISTICS & PROBABILITY-

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： PROBABILITY AND MATHEMATICAL STATISTICS is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.