Local time and Tanaka formulae for super Brownian and super stable processes

DOI10.1016/0304-4149(92)90146-HMaRDI QIDQ1198553zbMATH OpenFDO

Publication date 16 January 1993

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(92)90146-H

branching measure-valued process characteristic function domain of attraction of a stable law Itô's formula local times Sobolev spaces symmetric stable process Tanaka's formula

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Random measures (60G57) Random fields (60G60) Local time and additive functionals (60J55)

Review text

Consider \(X=(X_ t, t\geq 0)\), a branching measure-valued process with initial measure \(X_ 0=\) Lebesgue measure on \(\mathbb{R}^ d\), such that the underlying spatial motion is that of a symmetric stable process of index \(\alpha\in(0,2]\) and the branching mechanism is in the domain of attraction of a stable law of index \(1+\beta\), \(\beta\in (0,1]\). The first part of the paper is concerned with integrability properties of \(X\). In particular, the authors prove that every function \(\Phi\in L^ p(\mathbb{R}^ d,X_ 0)\) for \(1\leq p<\infty\) is a.s. in \(L^ p(\mathbb{R}^ d,X_ t)\) for almost every \(t>0\). In the case \(\beta=1\), if \(\Phi\) is in the intersection of Sobolev spaces \(W^{2,2}\cap W^{2,1}\), then the real-valued process \(\langle\Phi,X_ t\rangle\) is a.s. continuous, and an Itô's formula is derived. In dimension \(d<2\alpha\) and for \(\beta=1\), the process \(X\) has local times \(L^ x_ t\). That is \[ L^ x_ t=\lim_{\varepsilon\to 0}\text{vol}(B_{\varepsilon,x})^{-1}\int^ t_ 0\langle\Phi_{\varepsilon,x},X_ s\rangle ds, \] where \(B_{\varepsilon,x}\) denotes the ball centered at \(x\) with radius \(\varepsilon\), \(\text{vol}(B_{\varepsilon,x})\) its volume and \(\Phi_{\varepsilon,x}\) its characteristic function. The preceding Itô's formula yields the following Tanaka's formula for the local time \(L^ 0_ t\): \[ L^ 0_ t=\langle G^ \lambda_ \alpha, X_ 0\rangle-\langle G^ \lambda_ \alpha, X_ t\rangle+\int^ t_ 0\langle G^ \lambda_ \alpha, X_ s\rangle ds+\int^ t_ 0\langle G^ \lambda_ \alpha,X^ \alpha(ds)\rangle. \] Here, \(G^ \lambda_ \alpha\) is the Green's function associated with the underlying stable motion, and \(X^ \alpha(\cdot,ds)\) is the martingale measure that appears in the semimartingale decomposition of \(X_ t\). This Tanaka's formula is then applied to derive the existence of a jointly continuous version of the local times \(L^ x_ t\).

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