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Revuz measures under time change

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Abstract

In this paper, we shall study how energy functionals and Revuz measures change under time change of Markov processes and provide an intuitive and direct approach to the computation of the Levy system and jumping measure of time changed process.

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Authors and Affiliations

  1. Department of Applied Mathematics, Shanghai University of Finance and Economics, Shanghai, 200433, China

    He Ping

  2. Institute of Mathematics, Fudan University, Shanghai, 200433, China

    Ying JianGang

Authors
  1. He Ping
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  2. Ying JianGang
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Corresponding author

Correspondence to Ying JianGang.

Additional information

This work was supported by the National Natural Science Foundation of China (Grant No. 10771131) and the National Basic Research Program of China (973 Program) (Grant No. 2007CB814904)

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He, P., Ying, J. Revuz measures under time change. Sci. China Ser. A-Math. 51, 321–328 (2008). https://doi.org/10.1007/s11425-008-0040-0

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  • DOI: https://doi.org/10.1007/s11425-008-0040-0

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