L\'evy Processes, Generalized Moments and Uniform Integrability
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Publication:6360896
DOI10.37190/0208-4147.00045zbMATH Open1520.60027arXiv2102.09004MaRDI QIDQ6360896FDOQ6360896
Authors: David Berger, Franziska Kühn, R. L. Schilling 
Publication date: 17 February 2021
Abstract: We give new proofs of certain equivalent conditions for the existence of generalized moments of a L'evy process ; in particular, the existence of a generalized -moment is equivalent to the uniform integrability of . As a consequence, certain functions of a L'evy process which are integrable and local martingales are already true martingales. Our methods extend to moments of stochastically continuous additive processes, and we give new, short proofs for the characterization of lattice distributions and the transience of L'evy processes.
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Rate of growth of functions, orders of infinity, slowly varying functions (26A12) Special properties of functions of several variables, Hölder conditions, etc. (26B35)
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