Tanaka formula for symmetric L\'{e}vy processes
Probability
2007-05-23 v1
Abstract
Starting from the potential theoretic definition of the local times of a Markov process - when these exist - we obtain a Tanaka formula for the local times of symmetric L\'{e}vy processes. The most interesting case is that of the symmetric -stable L\'{e}vy process (for ) which is studied in detail. In particular, we determine which powers of such a process are semimartingales. These results complete, in a sense, the works by K. Yamada \cite{yamada02} and Fitzsimmons and Getoor \cite{fitzsimmonsgetoor92a}.
Cite
@article{arxiv.math/0501182,
title = {Tanaka formula for symmetric L\'{e}vy processes},
author = {Paavo Salminen and Marc Yor},
journal= {arXiv preprint arXiv:math/0501182},
year = {2007}
}
Comments
24 pages, no figures