The Symbol Associated with the Solution of a Stochastic Differential Equation

By René L. Schilling, Alexander Schnurr. 2009

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We consider stochastic differential equations which are driven by multidimensional Levy processes. We show that the infinitesimal generator of the solution is a pseudo-differential operator whose symbol is calculated explicitely. For a large class of Feller processes many properties of the sample paths can be derived by analysing the symbol. It turns out that the solution of the SDE under consideration is a Feller process if the coefficient of the SDE is bounded and that the symbol is of a particulary nice structure.

Subfields: Finance, Mathematical Physics

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