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The Time-Dependent Symbol of a Non-homogeneous Itô Process and Corresponding Maximal Inequalities

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  • Sebastian Rickelhoff

    (University of Siegen)

  • Alexander Schnurr

    (University of Siegen)

Abstract

The probabilistic symbol is defined as the right-hand side derivative at time zero of the characteristic functions corresponding to the one-dimensional marginals of a time-homogeneous stochastic process. As described in various contributions to this topic, the symbol contains crucial information concerning the process. When leaving time-homogeneity behind, a modification of the symbol by inserting a time component is needed. In the present article, we show the existence of such a time-dependent symbol for non-homogeneous Itô processes. Moreover, for this class of processes, we derive maximal inequalities which we apply to generalize the Blumenthal–Getoor indices to the non-homogeneous case. These are utilized to derive several properties regarding the paths of the process, including the asymptotic behavior of the sample paths, the existence of exponential moments and the finiteness of p-variationa. In contrast to many situations where non-homogeneous Markov processes are involved, the space-time process cannot be utilized when considering maximal inequalities.

Suggested Citation

  • Sebastian Rickelhoff & Alexander Schnurr, 2024. "The Time-Dependent Symbol of a Non-homogeneous Itô Process and Corresponding Maximal Inequalities," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2508-2533, September.
    • Handle: RePEc:spr:jotpro:v:37:y:2024:i:3:d:10.1007_s10959-023-01308-y
    DOI: 10.1007/s10959-023-01308-y
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    References listed on IDEAS

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    1. René L. Schilling, 1998. "Feller Processes Generated by Pseudo-Differential Operators: On the Hausdorff Dimension of Their Sample Paths," Journal of Theoretical Probability, Springer, vol. 11(2), pages 303-330, April.
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