Increasing processes and the change of variables formula for non-decreasing functions
Probability
2013-03-27 v1
Abstract
Given an increasing process , we characterize the right-continuous non-decreasing functions that map to a pure-jump process. As an example of application, we show for instance that functions with bounded variations belong to the domain of the extended generator of any subordinators with no drift and infinite L\'evy measure.
Cite
@article{arxiv.1303.6452,
title = {Increasing processes and the change of variables formula for non-decreasing functions},
author = {Jean Bertoin and Marc Yor},
journal= {arXiv preprint arXiv:1303.6452},
year = {2013}
}