Back to Search Start Over

The conservativeness of Girsanov transformed symmetric Markov processes

Authors :
Yusuke Miura
Source :
Tohoku Math. J. (2) 71, no. 2 (2019), 221-241
Publication Year :
2019
Publisher :
Tohoku University, Mathematical Institute, 2019.

Abstract

In this paper, we study those Girsanov transformations of symmetric Markov processes which preserve the symmetry. Employing a criterion for uniform integrability of exponential martingales due to Chen [3], we identify the class of transformations which transform the original process into a conservative one, even if the original one is explosive. We also consider the class of transformations which transform to a recurrent one. In [14, 22], the same problems are studied for symmetric diffusion processes. Our main theorem is an extension of their results to symmetric Markov processes with jumps.

Details

Language :
English
Database :
OpenAIRE
Journal :
Tohoku Math. J. (2) 71, no. 2 (2019), 221-241
Accession number :
edsair.doi.dedup.....4c5035a649849bc6be8e36a6ff022a1d