Selfdecomposable fields

DOI10.1007/S10959-015-0630-ZzbMATH Open1423.60034arXiv1502.01520OpenAlexW3037838924MaRDI QIDQ521968FDOQ521968

Benedykt Szozda, Ole E. Barndorff-Nielsen, Orimar Sauri

Publication date: 12 April 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: In the present paper we study selfdecomposability of random fields, as defined directly rather than in terms of finite-dimensional distributions. The main tools in our analysis are the master L'evy measure and the associated L'evy-It^o representation. We give the dilation criterion for selfdecomposability analogous to the classical one. Next, we give necessary and sufficient conditions (in terms of the kernel functions) for a Volterra field driven by a L'evy basis to be selfdecomposable. In this context we also study the so-called Urbanik classes of random fields. We follow this with the study of existence and selfdecomposability of integrated Volterra fields. Finally, we introduce infinitely divisible field-valued L'evy processes, give the L'evy-It^o representation associated with them and study stochastic integration with respect to such processes. We provide examples in the form of L'evy semistationary processes with a Gamma kernel and Ornstein-Uhlenbeck processes.

Full work available at URL: https://arxiv.org/abs/1502.01520

zbMATH Keywords

random fieldsselfdecomposability of random fieldsurbanik classes of random fieldsVolterra fields

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Random fields (60G60)

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