Lifting Lévy processes to hyperfinite random walks (Q2370809): Difference between revisions

The interest in Lévy processes has grown up in recent years, on the one hand, as suitable generalizations of the Brownian motion for the purpose of mathematical modelling and, on the other hand, for their own mathematical interest. However, before the paper under consideration here and the work of \textit{T. Lindstrøm} [Stochastics Stochastics Rep. 76, No.~6, 517--548 (2004; Zbl 1063.60072)], no nonstandard approach to Lévy processes has been developed. In this almost first contribution to this field, the authors show the existence of an internal lifting for arbitrary Lévy processes. This lifting mimics the intuitive notion of a process which is the infinitesimal sum of its infinitesimal increments, those in turn being independent from, and closely related to each other. In other words, the process can be regarded as some kind of random walk, were the steps will generically vary. The proof uses the existence of càdlàg modifications of Lévy processes and certain features of hyperfinite adapted probability spaces (in the so called model theory of stochastic processes).