English

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 \al\al-stable L\'{e}vy process (for \al[1,2]\al\in[1,2]) 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}.

Keywords

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