On additive time-changes of Feller processes

Abstract

Progress in Analysis and Its Applications, pp. 431-437 (2010) No AccessOn additive time-changes of Feller processesAleksandar Mijatović and Martijn PistoriusAleksandar MijatovićDepartment of Mathematics, Imperial College London, 180 Queen's Gate, South Kensington, London SW7 2AZ, UK and Martijn PistoriusDepartment of Mathematics, Imperial College London, 180 Queen's Gate, South Kensington, London SW7 2AZ, UKThe authors acknowledge support by EPSRC grant EP/D039053.https://doi.org/10.1142/9789814313179_0056Cited by:5 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: In this note we generalise the Phillips theorem [1] on the subordination of Feller processes by Lévy subordinators to the class of additive subordinators (i.e. subordinators with independent but possibly nonstationary increments). In the case where the original Feller process is Lévy we also express the time-dependent characteristics of the subordinated process in terms of the characteristics of the Lévy process and the additive subordinator. Keywords: Subordinationsemigroupsgeneratorstime-dependent Markov processes FiguresReferencesRelatedDetailsCited By 5Equivalent measure changes for subordinate diffusionsLingfei Li and Rafael Mendoza-Arriaga29 April 2019 | Stochastic Models, Vol. 35, No. 4MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONSRafael Mendoza‐Arriaga and Vadim Linetsky19 June 2014 | Mathematical Finance, Vol. 26, No. 4Additive subordination and its applications in financeJing Li, Lingfei Li and Rafael Mendoza-Arriaga20 May 2016 | Finance and Stochastics, Vol. 20, No. 3Additive Subordination and Its Applications in FinanceJing Li, Lingfei Li and Rafael Mendoza-Arriaga1 Jan 2015 | SSRN Electronic Journal, Vol. 4Constructing Markov Processes with Dependent Jumps by Multivariate Subordination: Applications to Multi-Name Credit-Equity ModelingRafael Mendoza-Arriaga and Vadim Linetsky1 Jan 2011 | SSRN Electronic Journal, Vol. 17 Progress in Analysis and Its ApplicationsMetrics History KeywordsSubordinationsemigroupsgeneratorstime-dependent Markov processesPDF download

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