Local time of additive Lévy process
An additive Lévy process \(\{X_t\), \(t\in {\mathbb R}^n_+\}\) on \({\mathbb R}^d\) is a simple example of a multi-parameter Lévy process, which can be decomposed into \(X_t= \sum_{j =1}^n X^j_{t_j}\), where the \(X_j\)'s are independent one-parameter Lévy processes on \({\mathbb R}^d\) and \(t_j\) is the \(j\)th coordinate of \(t\). The authors give a criterion for the existence of a jointly continuous local time for such processes, viz. of a continuous density function for the multi-parameter occupation measure. In the main theorem, a sufficient condition is given by \(n\times\alpha > d\), where \(\alpha\) is the minimum of the Blumenthal and Getoor's indices of the \(X^j\)'s. The proof is based on a criterion of \textit{S. M. Berman} [Ann. Math. Stat. 41, 1260-1272 (1970; Zbl 0204.50501)], and on Fourier techniques very similar to the one-parameter case in the easy situation \(\alpha > d\). The authors seem not to be aware of the definitive and much more difficult results of \textit{M. T. Barlow} [Ann. Probab. 16, No. 4, 1389-1427 (1988; Zbl 0666.60072)] about this question for one-parameter Lévy processes.
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- Local time analysis of additive Lévy processes with different Lévy exponents
- Existence and joint continuity of local time of multi-parameter fractional Lévy processes
- Moderate deviations and laws of the iterated logarithm for the local times of additive Lévy processes and additive random walks
- A local time analysis of intersections of Brownian paths in the plane
- Contours of Brownian processes with several-dimensional times
- scientific article; zbMATH DE number 3459684 (Why is no real title available?)
- scientific article; zbMATH DE number 1153064 (Why is no real title available?)
- scientific article; zbMATH DE number 3403545 (Why is no real title available?)
- Local Times and Sample Function Properties of Stationary Gaussian Processes
- Local times for two-parameter Levy processes
- Nondifferentiability of curves on the Brownian sheet
- Occupation densities
- On some limit theorems of probability distributions
- Points of increase of the Brownian sheet
- Sample function properties of multi-parameter stable processes
- Existence and joint continuity of local time of multi-parameter fractional Lévy processes
- Two uniform intrinsic constructions for the local time of a class of Lévy processes
- On a theorem in multi-parameter potential theory
- Random Fourier series and continuous additive functionals of Lévy processes on the torus
- Local times of additive Lévy processes.
- Some results on local growth of two-parameter Lévy processes
- Self-intersection local time of additive Lévy process
- Local time analysis of additive Lévy processes with different Lévy exponents
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