Hunt’s hypothesis (H) and Getoor’s conjecture for Lévy processes

Ze-Chun Hu and Wei Sun

Stochastic Processes and their Applications, 2012, vol. 122, issue 6, pages 2319-2328

Abstract: In this paper, Hunt’s hypothesis (H) and Getoor’s conjecture for Lévy processes are revisited. Let X be a Lévy process on Rn with Lévy–Khintchine exponent (a,A,μ). First, we show that if A is non-degenerate then X satisfies (H). Second, under the assumption that μ(Rn∖ARn)<∞, we show that X satisfies (H) if and only if the equation Ay=−a−∫{x∈Rn∖ARn:|x|<1}xμ(dx),y∈Rn, has at least one solution. Finally, we show that if X is a subordinator and satisfies (H) then its drift coefficient must be 0.

Keywords: Hunt’s hypothesis; Getoor’s conjecture; Lévy processes (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414912000464
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:6:p:2319-2328

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Series data maintained by Wendy Shamier ().