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Time dependent subordination and markov processes with jumps

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Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1729)

Abstract

Bochner’s subordination is extended to time-inhomogeneous Markov processes and the Feynman-Kac formula is generalized to the time-dependent subordination. As an application it is shown that stochastic differential equations with jumps can be directly solved with the help of the time-dependent subordination and consequently that the equation of motion for relativistic quantum particles is solved.

Keywords

  • Brownian Motion
  • Markov Process
  • Stochastic Differential Equation
  • Jump Time
  • Wiener Measure

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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© 2000 Springer-Verlag

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Nagasawa, M., Tanaka, H. (2000). Time dependent subordination and markov processes with jumps. In: Azéma, J., Ledoux, M., Émery, M., Yor, M. (eds) Séminaire de Probabilités XXXIV. Lecture Notes in Mathematics, vol 1729. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0103807

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  • DOI: https://doi.org/10.1007/BFb0103807

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-67314-9

  • Online ISBN: 978-3-540-46413-6

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