Infinitely divisible measures

Publication date 1 February 2003

infinitely divisible measures Lévy measures separable Banach space

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Vector-valued measures and integration (46G10)

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The author generalizes some results on real infinitely divisible measures to the realm of separable Banach spaces. For instance, it is known that if \(\mu\) is a real infinitely divisible measure and \(\mu^{\star}\) is its characteristic function, then \(\mu^{\star}\) never vanishes and it exists a unique continuous function \(\lambda\) from the real numbers to the complex numbers such that \(\lambda (0)= 0\) and \(\mu^{\star}(t)=\exp(\lambda (t))\) for each real number \(t\) [\textit{K. L. Cheng}, ``A course in probability theory (1974; Zbl 0345.60003)]. Then the author proves the following result: If \(\mu\) is an infinitely divisible probability measure on a separable Banach space \(E\), then (1) \(\mu^{\star}(x')\not= 0\) for every \(x'\in E^{\star}\), and (2) there is a unique sequentially weak\(^{\star}\) continuous function \(\psi \) from the dual space \(E^{\star}\) into the complex numbers such that \(\psi (0)=0\) and \(\mu^{\star}= \exp\psi\). A version of the formule of Lévi-Khintchine for this kind of measures is also obtained.NEWLINENEWLINEFor the entire collection see [Zbl 0978.00017].

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