The symbol associated with the solution of a stochastic differential equation

Research output: Contribution to journalResearch articleContributedpeer-review

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 languageEnglish
Pages (from-to)1369-1393
Number of pages25
JournalElectronic journal of probability
Volume15
Publication statusPublished - 1 Jan 2010
Peer-reviewedYes

Keywords

Keywords

  • Blumenthal-Getoor index, Lévy process, Pseudo-differential operator, Sample path properties, Semimartingale, Stochastic differential equation