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On the semimartingale nature of Feller processes with killing
- Source :
-
Stochastic Processes & Their Applications . Jul2012, Vol. 122 Issue 7, p2758-2780. 23p. - Publication Year :
- 2012
-
Abstract
- Abstract: Let be an open set in . We show that under a mild assumption on the richness of the generator, a Feller process in with (predictable) killing is a semimartingale. To this end, we generalize the notion of semimartingales in a natural way to those ‘with killing’. Furthermore we calculate the semimartingale characteristics of the Feller process explicitly and analyze their connections to the symbol. Finally we derive a probabilistic formula for calculating the symbol of the process. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 122
- Issue :
- 7
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 76313778
- Full Text :
- https://doi.org/10.1016/j.spa.2012.04.009