Stochastic integral representations and classification of sum- and max-infinitely divisible processes

DOI10.3150/14-BEJ624MaRDI QIDQ5963496zbMATH OpenFDO

Authors Zakhar Kabluchko, Stilian Stoev

Publication date 22 February 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1207.4983, https://projecteuclid.org/euclid.bj/1443620845

zbMATH Keywords

Poisson processinfinitely divisible processesminimalitystochastic integralsmeasure-preserving flowspectral representationsmax-infinitely divisible processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05)

Abstract: Introduced is the notion of minimality for spectral representations of sum- and max-infinitely divisible processes and it is shown that the minimal spectral representation on a Borel space exists and is unique. This fact is used to show that a stationary, stochastically continuous, sum- or max-i.d. random process on $mathbb{R}^d$ can be generated by a measure-preserving flow on a $sigma$-finite Borel measure space and that this flow is unique. This development makes it possible to extend the classification program of Rosi'{n}ski (Ann. Probab. 23 (1995) 1163-1187) with a unified treatment of both sum- and max-infinitely divisible processes. As a particular case, a characterization of stationary, stochastically continuous, union-infinitely divisible random measurable subsets of $mathbb{R}^d$ is obtained. Introduced and classified are several new max-i.d. random field models including fields of Penrose type and fields associated to Poisson line processes.

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