Modelling Lévy space‐time white noises

DOI10.1112/JLMS.12465zbMATH Open1485.60042arXiv1907.04193OpenAlexW3160686265MaRDI QIDQ3384044FDOQ3384044

Authors: Matthew Griffiths, M. Riedle 

Publication date: 16 December 2021

Published in: Journal of the London Mathematical Society (Search for Journal in Brave)

Abstract: Based on the theory of independently scattered random measures, we introduce a natural generalisation of Gaussian space-time white noise to a Levy-type setting, which we call Levy-valued random measures. We determine the subclass of cylindrical Levy processes which correspond to Levy-valued random measures, and describe the elements of this subclass uniquely by their characteristic function. We embed the Levy-valued random measure, or the corresponding cylindrical Levy process, in the space of general and tempered distributions. For the latter case, we show that this embedding is possible if and only if a certain integrability condition is satisfied. Similar to existing definitions, we introduce Levy-valued additive sheets, and show that integrating a Levy-valued random measure in space defines a Levy-valued additive sheet. This relation is manifested by the result, that a Levy-valued random measure can be viewed as the weak derivative of a Levy-valued additive sheet in the space of distributions.

Full work available at URL: https://arxiv.org/abs/1907.04193

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zbMATH Keywords

embeddingcylindrical Lévy processLévy additive sheetLévy space-time white noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Random measures (60G57) Generalized stochastic processes (60G20)

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Cited In (8)

• Lévy white noise measures on infinite-dimensional spaces: existence and characterization of the measurable support
• Space-Time Stochastic Calculus and White Noise
• The domain of definition of the Lévy white noise
• Verhulst model with Lévy white noise excitation
• A model of white noise with values in a Hilbert space
• CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
• Stochastic wave equation with Lévy white noise
• Stochastic integration in Hilbert spaces withrespect to cylindrical martingale-valued measures

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