On additive time-changes of Feller processes

Aleksandar Mijatović; Martijn Pistorius

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arXiv · 0909.4881

On additive time-changes of Feller processes

Aleksandar Mijatović·Martijn Pistorius

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Abstract

In this note we generalise the Phillips theorem on the subordination of Feller processes by Levy subordinators to the class of additive subordinators (i.e. subordinators with independent but possibly nonstationary increments). In the case where the original Feller process is Levy we also express the time-dependent characteristics of the subordinated process in terms of the characteristics of the Levy process and the additive subordinator.

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Aleksandar Mijatović, Martijn Pistorius. 2009-09-26. On additive time-changes of Feller processes. https://arxiv.org/abs/0909.4881

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