相关论文: A calculus on L\'evy exponents and selfdecomposabi…
It is proved that the random integral mappings (some type of functionals of L\'evy processes) are always isomorphisms between convolution semigroups of infinitely divisible measures. However, the inverse mappings are no longer of the random…
In this work infinitely divisible cylindrical probability measures on arbitrary Banach spaces are introduced. The class of infinitely divisible cylindrical probability measures is described in terms of their characteristics, a…
We establish an explicit characterisation of L\'evy measures on both $L^p$-spaces and UMD Banach spaces. In the case of $L^p$-spaces, L\'evy measures are characterised by an integrability condition, which directly generalises the known…
We establish a link between the distribution of an exponential functional I and the undershoots of a subordinator, which is given in terms of the associated harmonic potential measure. This allows us to give a necessary and sufficient…
The method of \emph{random integral representation}, that is, the method of representing a given probability measure as the probability distribution of some random integral, was quite successful in the past few decades. In this note we will…
The method of \emph{random integral representation}, that is, the method of representing a given probability measure as the probability distribution of some random integral, was quite successful in the past few decades. In this note we will…
Motivated by the Lyapunov convexity theorem in infinite dimensions, we extend the convexity of the integral of a decomposable set to separable Banach spaces under the strengthened notion of nonatomicity of measure spaces, called…
This paper develops a theory for completely random measures in the framework of free probability. A general existence result for free completely random measures is established, and in analogy to the classical work of Kingman it is proved…
We prove that the convolution of a selfdecomposable distribution with its background driving law is again selfdecomposable if and only if the background driving law is s-selfdecomposable. We will refer to this as the factorization property…
It is shown that some convolution semigroups of infinitely divisible measures are invariant under the random integral mappings $I^{h,r}_{(a,b]}$ defined in $(\star)$ below. The converse implication is specified for the semigroups of…
We prove that the convolution of a selfdecomposable distribution with its background driving law is again selfdecomposable if and only if the background driving law is s-selfdecomposable. We will refer to this as the \textit{factorization…
In the probability theory \emph{selfdecomposable, or class $L_0$ distributions} play an important role as they are limiting distributions of normalized partial sums of sequences of independent, not necessarily identically distributed,…
For $\,0<\alpha\le \infty$, new subclasses $\,\mathcal{U}^{<\alpha>}$ of the class $\,\mathcal{U}$, of s-selfdecomposable probability measures, are studied. They are described by random integrals, by their characteristic functions and their…
We stu\dd y a class of nonlinear stochastic partial differential equations with dissipative nonlinear drift, driven by L\'evy noise. Our work is divided in two parts. In the present part I we first define a Hilbert-Banach setting in which…
We consider Malliavin calculus based on the It\^o chaos decomposition of square integrable random variables on the L\'evy space. We show that when a random variable satisfies a certain measurability condition, its differentiability and…
This a free translation with additional explanations of {\em Processus \`a Accroissement Independants Chapitre I: La D\'ecomposition de Paul L\'evy}, by J.L. Bretagnolle, in {\em Ecole d'Et\'e de Probabilit\'es}, Lecture Notes in…
In the present paper we study selfdecomposability of random fields, as defined directly rather than in terms of finite-dimensional distributions. The main tools in our analysis are the master L\'evy measure and the associated L\'evy-It\^o…
We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function.…
We study the dual space of the variable Lebesgue space $\Lp$ with unbounded exponent function $\pp$ and provide an answer to a question posed in~[fiorenza-cruzuribe2013]. Our approach is to decompose the dual into a topological direct sum…
We derive Onsager-Machlup functionals for countable product measures on weighted $\ell^p$ subspaces of the sequence space $\mathbb{R}^{\mathbb{N}}$. Each measure in the product is a shifted and scaled copy of a reference probability measure…