The symbol associated with the solution of a stochastic differential equation
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Contributors
Abstract
Let (Zt)t≥0 be an ℝn-valued Lévy process. We consider stochastic differential equations of the dXx t = Φ(Xt t- )dZt Xx 0 = x, x ∈ ℝd, where Φ: ℝd → ℝd×n is Lipschitz continuous. We show that the infinitesimal generator of the solution process (Xx t)t≥0 is a pseudo-differential operator whose symbol p : ℝd × → ℝd → ℂ can be calculated by p(x, ξ) ≔ -limt↓0𝔼x(ei(Xσ t-x)⊤ ξ - 1/t). 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 process (Xx t)t≥0 is a Feller process if Φ is bounded and that the symbol is of the form p(x, ξ) = ψ(Φ⊤(x)ξ), where ψ is the characteristic exponent of the driving Lévy process.
Details
Original language | English |
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Pages (from-to) | 1369-1393 |
Number of pages | 25 |
Journal | Electronic journal of probability |
Volume | 15 |
Publication status | Published - 1 Jan 2010 |
Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Blumenthal-Getoor index, Lévy process, Pseudo-differential operator, Sample path properties, Semimartingale, Stochastic differential equation