Representations and isomorphism identities for infinitely divisible processes
Probability
2017-11-21 v3
Abstract
We propose isomorphism type identities for nonlinear functionals of general infinitely divisible processes. Such identities can be viewed as an analogy of the Cameron-Martin formula for Poissonian infinitely divisible processes but with random translations. The applicability of these tools relies on a precise understanding of L\'evy measures of infinitely divisible processes and their representations, which are developed here in full generality. We illustrate this approach on examples of squared Bessel processes, Feller diffusions, permanental processes, as well as L\'evy processes.
Cite
@article{arxiv.1607.07862,
title = {Representations and isomorphism identities for infinitely divisible processes},
author = {Jan Rosinski},
journal= {arXiv preprint arXiv:1607.07862},
year = {2017}
}
Comments
43 pages