Lévy processes with respect to the Whittaker convolution

DOI10.1090/TRAN/8294MaRDI QIDQ5853477zbMATH OpenOpenAlexFDO

Authors Rúben Sousa, Manuel Guerra, S. Yakubovich

Publication date 10 March 2021

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

Full work available at URL https://arxiv.org/abs/1805.03051

zbMATH Keywords

generalized convolutionindex Whittaker transforminfinitely divisible distributionsLévy processmartingale characterizationShiryaev process

Mathematics Subject Classification ID

Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15) Markov semigroups and applications to diffusion processes (47D07) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Processes with independent increments; Lévy processes (60G51)

Abstract: The index Whittaker convolution operator, recently introduced by the authors, gives rise to a convolution measure algebra having the property that the convolution of probability measures is a probability measure. In this paper, we introduce the class of L'evy processes with respect to the index Whittaker convolution and study their basic properties. We prove that the square root of the Shiryaev process belongs to our family of L'evy process, and this is shown to yield a martingale characterization of the Shiryaev process analogous to L'evy's characterization of Brownian motion. Our results demonstrate that a nice theory of L'evy processes with respect to generalized convolutions can be developed even if the usual compactness assumption on the support of the convolution fails, shedding light into the connection between the properties of the convolution algebra and the nature of the singularities of the associated differential operator.

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Cited in

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