Increasing processes and the change of variables formula for non-decreasing functions
Abstract
Given an increasing process (At)t≥ 0, we characterize the right-continuous non-decreasing functions f: + + that map A 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.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.