Permutation invariant functionals of Lévy processes

DOI10.1090/TRAN/7001MaRDI QIDQ5367094zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 12 October 2017

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.3645

zbMATH Keywords

backward stochastic differential equationsinvariant chaos expansionItô's chaos expansion

Mathematics Subject Classification ID

Ergodic theory on groups (22D40) Dynamical aspects of measure-preserving transformations (37A05) Processes with independent increments; Lévy processes (60G51)

Abstract: We study natural invariance properties of functionals defined on L'evy processes and show that they can be described by a simplified structure of the deterministic chaos kernels in It^o's chaos expansion. These structural properties of the kernels relate intrinsically to a measurability with respect to invariant $sigma$-algebras. This makes it possible to apply deterministic functions to invariant functionals on L'evy processes while keeping the simplified structure of the kernels. This stability is crucial for applications. Examples are given as well.

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Cites work

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Cited in

(6)

• Malliavin smoothness on the Lévy space with Hölder continuous or \(B V\) functionals
• \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
• Perpetual integrals for Lévy processes
• Computation of the kernels of Lévy functionals and applications
• A note on Malliavin fractional smoothness for Lévy processes and approximation
• Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs

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