The Gauss process generator by the Levy Laplacian and the corresponding Feynman-Kac formula (Q1360751)

We describe the construction of a stochastic process, which we call Lévy Brownian motion, that can be considered as Gauss process with independent increments in a nonseparable pre-Hilbert space that is generated by the so-called Lévy Laplacian. This construction is based on the theorem of the existence and uniqueness of the solution to the Cauchy problem for the heat conduction equation containing the Lévy Laplacian. An important feature of this construction is the fact that we use the transition probability, i.e., the fundamental solution to the Cauchy problem for the heat conduction equation with the Lévy Laplacian corresponding to the Gauss measure that has no countably additive Hilbert version. Since there is no countable additivity, in order to obtain the Feynman-Kac formula for such a heat conduction equation it is useful to apply the method, which goes back to \textit{V. P. Maslov} [``Complex Markov chains and the Feynman path integral for nonlinear equations'' (1976; Zbl 0449.35086)], used in the deduction of the Feynman-Kac formula for the Schrödinger equation and based on the application of the so-called complex Poisson measure on the space of trajectories in the ``impulse space''.