相关论文: Tanaka formula for symmetric L\'{e}vy processes

For symmetric L\'evy processes, if the local times exist, the Tanaka formula has already constructed via the techniques in the potential theory by Salminen and Yor (2007). In this paper, we study the Tanaka formula for arbitrary strictly…

In this paper, we shall introduce the Tanaka formula from viewpoint of the Doob-Meyer decomposition. For symmetric L\'evy processes, if the local time exists, Salminen and Yor (2007) obtained the Tanaka formula by using the potential…

The objective of this paper is to study the local time and Tanaka formula of symmetric $G$-martingales. We introduce the local time of $G$-martingales and show that they belong to $G$-expectation space $L_{G}^{2}(\Omega _{T})$. The…

We show that the hitting times for points of real $\alpha-$stable L\'evy processes ($1<\alpha\le 2$) are unimodal random variables. The argument relies on strong unimodality and several recent multiplicative identities in law. In the…

Several long-time limit theorems of one-dimensional L\'{e}vy processes weighted and normalized by functions of the local time are studied. The long-time limits are taken via certain families of random times, called clocks: exponential…

Three concepts of local times for deterministic c{\`a}dl{\`a}g paths are developed and the corresponding pathwise Tanaka--Meyer formulae are provided. For semimartingales, it is shown that their sample paths a.s. satisfy all three pathwise…

Monotone L\'evy processes with additive increments are defined and studied. It is shown that these processes have a natural Markov structure and their Markov transition semigroups are characterized using the monotone L\'evy-Khintchine…

We use Young integration (resp, bounded $p,q$-variation theory introduced in \cite{Feng-Zhao}) to establish integration of determinate functions with respect to local time of symmetric $\alpha$-stable L\'evy process, for $\alpha \in ]1,2]$,…

Let $X=\{X(t),t\in R_+\}$ be a real-valued symmetric L\'{e}vy process with continuous local times $\{L^x_t,(t,x)\in R_+\times R\}$ and characteristic function $Ee^{i\lambda X(t)}=e^{-t\psi(\lambda)}$. Let…

The problem of finding a necessary and sufficient condition for the continuity of the local times for a general Markov process is still open. Barlow and Hawkes have completely treated the case of the L\'{e}vy processes, and Marcus and Rosen…

In this paper we generalize the martingale of Kella and Whitt to the setting of L\'{e}vy-type processes and show that the (local) martingales obtained are in fact square integrable martingales which upon dividing by the time index converge…

We construct superprocesses with dependent spatial motion (SDSMs) in Euclidean spaces $R^d$ with $d\ge1$ and show that,even when they start at some unbounded initial positive Radon measure such as Lebesgue measure on $R^d$, their local…

In a recent work \cite{BG}, given a collection of continuous semimartingales, authors derive a semimartingale decomposition from the corresponding ranked processes in the case that the ranked processes can meet more than two original…

Long-time limit of one-dimensional L\'{e}vy processes weighted and normalized with respect to the exponential functional of two-point local times are studied. The limit processes may vary according to the choice of random clocks.

We study Girsanov's theorem in the context of symmetric Markov processes, extending earlier work of Fukushima-Takeda and Fitzsimmons on Girsanov transformations of ``gradient type.'' We investigate the most general Girsanov transformation…

For one-dimensional symmetric L\'{e}vy processes, which hit every point with positive probability, we give sharp bounds for the tail function of the first hitting time of B which is either a single point or an interval. The estimates are…

Let $X=\{X_{t},t\in R_{+}\}$ be a symmetric L\'{e}vy process with local time $\{L^{x}_{t} ; (x,t)\in R^{1}\times R^{1}_{+}\}$. When the L\'{e}vy exponent $\psi(\la)$ is regularly varying at zero with index $1<\beta\leq 2$, and satisfies…

We present sufficient conditions for the transience and the existence of local times of a Feller process, and the ultracontractivity of the associated Feller semigroup; these conditions are sharp for L\'{e}vy processes. The proof uses a…

The infinitesimal generator of a one-dimensional strictly $\alpha$-stable process can be represented as a weighted sum of (right and left) Riemann-Liouville fractional derivatives of order $\alpha$ and one obtains the fractional Laplacian…

We prove generalizations of the first and second Ray-Knight theorems, for a large class of non-symmetric strong Markov processes. These results link the local times of the Markov process with the squares of associated Gaussian processes.…