Two-parameter Lévy processes: ItÔ formula, semigroups, and generators

Authors

  • Yu. S. Mishura Київ. нац. ун-т iм. Т. Шевченка

Abstract

We consider random Lévy fields, i.e., stationary fields continuous in probability and having independent increments. We prove that the trajectories of such fields have at most one jump on every line parallel to the axes. We derive an expression for the ItÔ change of variables for Lévy fields. We also consider semigroups generated by Lévy fields and their generators.

Published

25.07.1995

Issue

Section

Research articles

How to Cite

Mishura, Yu. S. “Two-Parameter Lévy Processes: ItÔ Formula, Semigroups, and Generators”. Ukrains’kyi Matematychnyi Zhurnal, vol. 47, no. 7, July 1995, pp. 952–961, https://umj.imath.kiev.ua/index.php/umj/article/view/5490.