English

L\'{e}vy Processes and Infinitely Divisible Measures in the Dual of a Nuclear Space

Probability 2020-10-13 v2

Abstract

Let Φ\Phi be a nuclear space and let Φβ\Phi'_{\beta} denote its strong dual. In this work we establish the one-to-one correspondence between infinitely divisible measures on Φβ\Phi'_{\beta} and L\'{e}vy processes taking values in Φβ\Phi'_{\beta}. Moreover, we prove the L\'{e}vy-It\^{o} decomposition, the L\'{e}vy-Khintchine formula and the existence of c\`{a}dl\`{a}g versions for Φβ\Phi'_{\beta}-valued L\'{e}vy processes. A characterization for L\'{e}vy measures on Φβ\Phi'_{\beta} is also established. Finally, we prove the L\'{e}vy-Khintchine formula for infinitely divisible measures on Φβ\Phi'_{\beta}.

Keywords

Cite

@article{arxiv.1701.06630,
  title  = {L\'{e}vy Processes and Infinitely Divisible Measures in the Dual of a Nuclear Space},
  author = {C. A. Fonseca-Mora},
  journal= {arXiv preprint arXiv:1701.06630},
  year   = {2020}
}

Comments

To appear in Journal of Theoretical Probability