Multiplicative functionals of Lévy processes

Jiangang Ying

Stochastic Processes and their Applications, 1995, vol. 58, issue 2, 319-327

Abstract: In the present paper we introduce homogeneous multiplicative functionals (MFs) of Lévy processes and give their characterizations. We also give a characterization of a measure to be the Revuz measure of a homogeneous MF and the expression of the Lévy exponent of the corresponding subprocess.

Keywords: 60J30; 60J57; Lévy; processes; Multiplicative; functionals; Revuz; measures; Infinitesimal; generator (search for similar items in EconPapers)
Date: 1995
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