We start with a standard Markov process $X$ and a continuous additive process $A$ of $X$ with fine support $\Phi$. We form the time changed process $X_\tau$, and we compute its weak infinitesimal generator in terms of the weak infinitesimal generator of the process $X$ and of the Levy system of $(X_\tau, \tau)$. We give some examples.
Publié le : 1980-08-14
Classification:
Standard process,
infinitesimal generator,
additive functional,
time changed process,
60J35,
60J55
@article{1176994661,
author = {Gzyl, Henryk},
title = {Infinitesimal Generators of Time Changed Processes},
journal = {Ann. Probab.},
volume = {8},
number = {6},
year = {1980},
pages = { 716-726},
language = {en},
url = {http://dml.mathdoc.fr/item/1176994661}
}
Gzyl, Henryk. Infinitesimal Generators of Time Changed Processes. Ann. Probab., Tome 8 (1980) no. 6, pp. 716-726. http://gdmltest.u-ga.fr/item/1176994661/