Hyperfinite Lévy Processes
Intuitively, Lévy processes are just continuous time analogues of random walks with independent and stationary increments. The purpose of this paper is to make this intuition precise by studying infinitesimal random walks (in the sense of nonstandard anlysis ) and show that they correspond exactly to (standard) Lévy processes. \textit{R. M. Anderson} [Isr. J. Math. 25, 15--46 (1976; Zbl 0353.60052)] showed that a Bernoulli random walk with infinitesimal time steps generates (standard) Brownian motion, and this paper may be regarded as an extension of Anderson's study to infinitesimal random walks in general. A hyperfinite Lévy process is an infinitesimal random walk (in the sense of nonstandard analysis) which with probability one is finite for all finite times. The author developes the basic theory for hyperfinite Lévy processes and finds a characterization in terms of transition probabilities. The standard part of a hyperfinite Lévy process is a (standard) Lévy process, and he shows that given a generating triplet for standard Lévy processes, one can construct hyperfinite Lévy processes whose standard parts correspond to this triplet. Hence all Lévy laws can be obtained from hyperfinite Lévy processes. This paper ends with a brief look at Malliavin calculus for hyperfinite Lévy processes.
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