Local time-space calculus for symmetric Lévy processes

DOI10.1016/j.spa.2011.05.011zbMath1231.60081OpenAlexW2045370223MaRDI QIDQ554450

Alexander Walsh

Publication date: 4 August 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.05.011

zbMATH Keywords

stochastic calculusLévy processItô formulasymmetric stable processlocal time-space calculus

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Local time and additive functionals (60J55)

Related Items (2)

Extended Itô calculus for symmetric Markov processes ⋮ Stochastic integration with respect to additive functionals of zero quadratic variation

Cites Work

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• On the parabolic generator of a general one-dimensional Lévy process
• An optimal Itô formula for Lévy processes
• Time reversal on Lévy processes
• Dirichlet forms and symmetric Markov processes
• Itô's formula for \(C^{1,\lambda}\)-functions of a càdlàg process and related calculus
• Integration with respect to local time
• Stochastic calculus for symmetric Markov processes
• On Itô's formula for elliptic diffusion processes
• Local time-space stochastic calculus for Lévy processes
• A change-of-variable formula with local time on curves
• Tanaka Formula for Symmetric Lévy Processes
• Markov Processes, Gaussian Processes, and Local Times
• Zeroes of Infinitely Divisible Densities

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