Convolution type form of the Ito representation of the infinitesimal generator for Levy processes
Classical Analysis and ODEs
2012-12-18 v1 Statistics Theory
Statistics Theory
Abstract
In the present paper we show that the Ito representation of the infinitesimal generator for Levy processes can be written in a convolution type form. Using the obtained convolution form and the theory of integral equations with difference kernels we study the properties of Levy processes.
Keywords
Cite
@article{arxiv.1212.3603,
title = {Convolution type form of the Ito representation of the infinitesimal generator for Levy processes},
author = {Lev Sakhnovich},
journal= {arXiv preprint arXiv:1212.3603},
year = {2012}
}