The set-indexed Lévy process: stationarity, Markov and sample paths properties

DOI10.1016/J.SPA.2013.01.001MaRDI QIDQ1947597zbMATHOpenAlexFDO

Authors Erick Herbin, Ely Merzbach

Publication date 22 April 2013

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

Full work available at URL https://arxiv.org/abs/1108.0873

zbMATH Keywords

Markov processesrandom fieldcompound Poisson processinfinitely divisible distributionset-indexed processesincrement stationarityindependently scattered random measuresLévy processesLévy-Itō decomposition

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Random fields (60G60) Stationary stochastic processes (60G10) Brownian motion (60J65) Random measures (60G57) Sample path properties (60G17)

Abstract: We present a satisfactory definition of the important class of L'evy processes indexed by a general collection of sets. We use a new definition for increment stationarity of set-indexed processes to obtain different characterizations of this class. As an example, the set-indexed compound Poisson process is introduced. The set-indexed L'evy process is characterized by infinitely divisible laws and a L'evy-Khintchine representation. Moreover, the following concepts are discussed: projections on flows, Markov properties, and pointwise continuity. Finally the study of sample paths leads to a L'evy-It^o decomposition. As a corollary, the semimartingale property is proved.

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Cited in

(8)

• Fractional Poisson processes of order \(k\) and beyond
• Regularity of an abstract Wiener integral
• An increment-type set-indexed Markov property
• Set-indexed processes with independent increments
• The Lévy-Itô decomposition of sample paths of Lévy processes with values in the space of probability measures
• A Markov property for set-indexed processes
• Local Hölder regularity for set-indexed processes
• Fractional Poisson fields and martingales

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