The Lamperti correspondence extended to Lévy processes and semi-stable Markov processes in locally compact groups (Q2495386): Difference between revisions

\textit{J. Lamperti} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 22, 205--225 (1972; Zbl 0274.60052)] introduced \(\alpha \)-semi-stable processes with \(\alpha >0\) fixed as\(\;\)special \( \mathbb{R} \)-valued Markov processes \((X(t))_{t\geq 0}\) whose transition function \(P_{t}(x,A) \), \(t\geq 0\), \(x\in \mathbb{R} _{+}\), \(A\in \mathcal{B}( \mathbb{R} _{+}) \), satisfies \(P_{at}(x,A)= P_{t} (a^{-\alpha }x, a^{-\alpha }A)\). Then there exists a Lévy process \((\xi _{t})_{t\geq 0}\) such the Lamperti representation \(X_{A_{t}}=e^{\xi _{s}/\alpha }\,ds\), \(t\geq 0, \) holds. The present author extends the definition of \(\alpha \)-semi-stable processes to processes with values in \( \mathbb{R} ^{\ast }= \mathbb{R}\backslash \{0\}\), \(C^{\ast }= \mathbb{C}\backslash \{0\} \) or more generally in a locally compact group with a countable basis, and derives Lamperti representations for such processes.