Markov Property of Monotone Lévy Processes
نویسنده
چکیده
Monotone Lévy processes with additive increments are defined and studied. It is shown that these processes have natural Markov structure and their Markov transition semigroups are characterized using the monotone Lévy-Khintchine formula. 17 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.
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تاریخ انتشار 2004