Markov property of monotone Lévy processes
Franz, Uwe ; Muraki, Naofumi
HAL, hal-00470214 / Harvested from HAL
Text on HAL
Monotone Lévy 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 Lévy-Khintchine formula. Monotone Lévy processes turn out to be related to classical Lévy processes via Attal's ``remarkable transformation.'' A monotone analogue of the family of exponential martingales associated to a classical Lévy process is also defined.
Publié le : 2004-01-28
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00470214,
     author = {Franz, Uwe and Muraki, Naofumi},
     title = {Markov property of monotone L\'evy processes},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00470214}
}

Franz, Uwe; Muraki, Naofumi. Markov property of monotone Lévy processes. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00470214/