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Pure jump increasing processes and the change of variables formula


 
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1. Title Title of document Pure jump increasing processes and the change of variables formula
 
2. Creator Author's name, affiliation, country Jean Bertoin; Universität Zürich; Switzerland
 
2. Creator Author's name, affiliation, country Marc Yor; Université Pierre et Marie Curie - Paris 6; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Pure jump process, increasing process, change of variables, subordinator, extended infinitesimal generator
 
3. Subject Subject classification 60J75; 60G51; 60J35
 
4. Description Abstract Given an increasing process $(A_t)_{t\geq 0}$, we characterize the right continuous non-decreasing functions $f: \mathbb{R}_+\to \mathbb{R}_+$ that map $A$ to a pure jump process. As an example of application, we show for instance that functions with bounded variations belong to the domain of the extended generator of any subordinator with no drift and infinite Lévy measure.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2013-05-30
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2700
 
10. Identifier Digital Object Identifier 10.1214/ECP.v18-2700
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 18
 
12. Language English=en en
 
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