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August, 1980 Infinitesimal Generators of Time Changed Processes
Henryk Gzyl
Ann. Probab. 8(4): 716-726 (August, 1980). DOI: 10.1214/aop/1176994661


We start with a standard Markov process $X$ and a continuous additive process $A$ of $X$ with fine support $\Phi$. We form the time changed process $X_\tau$, and we compute its weak infinitesimal generator in terms of the weak infinitesimal generator of the process $X$ and of the Levy system of $(X_\tau, \tau)$. We give some examples.


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Henryk Gzyl. "Infinitesimal Generators of Time Changed Processes." Ann. Probab. 8 (4) 716 - 726, August, 1980.


Published: August, 1980
First available in Project Euclid: 19 April 2007

zbMATH: 0434.60079
MathSciNet: MR577311
Digital Object Identifier: 10.1214/aop/1176994661

Primary: 60J35
Secondary: 60J55

Keywords: additive functional , infinitesimal generator , Standard process , time changed process

Rights: Copyright © 1980 Institute of Mathematical Statistics

Vol.8 • No. 4 • August, 1980
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