Jean Bertoin, Marc Yor
Published 2013-03-26Version 1
Given an increasing process $(A_t)_{t\geq 0}$, we characterize the right-continuous non-decreasing functions $f: \R_+\to \R_+$ 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.
On exact sampling of the first passage event of Levy process with infinite Levy measure and bounded variation
Approximations for solutions of Lévy-type stochastic differential equations
Dirichlet heat kernel for unimodal Lévy processes
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