Indexing metadata

The Symbol Associated with the Solution of a Stochastic Differential Equation


 
Dublin Core PKP Metadata Items Metadata for this Document
 
1. Title Title of document The Symbol Associated with the Solution of a Stochastic Differential Equation
 
2. Creator Author's name, affiliation, country Rene L. Schilling; Technische Universität Dresden; Germany
 
2. Creator Author's name, affiliation, country Alexander Schnurr; Technische Universität Dortmund; Germany
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) stochastic differential equation; L'evy process; semimartingale; pseudo-differential operator; Blumenthal-Getoor index; sample path properties
 
3. Subject Subject classification 60J75; 47G30; 60H20; 60J25; 60G51; 60G17
 
4. Description Abstract We consider stochastic differential equations which are driven by multidimensional Levy processes. We show that the infinitesimal generator of the solution is a pseudo-differential operator whose symbol is calculated explicitely. For a large class of Feller processes many properties of the sample paths can be derived by analysing the symbol. It turns out that the solution of the SDE under consideration is a Feller process if the coefficient of the SDE is bounded and that the symbol is of a particulary nice structure.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2010-09-18
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/807
 
10. Identifier Digital Object Identifier 10.1214/EJP.v15-807
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 15
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
15. Rights Copyright and permissions The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available.

Summary of the Creative Commons Attribution License

You are free
  • to copy, distribute, display, and perform the work
  • to make derivative works
  • to make commercial use of the work
under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.