Lévy processes and Lévy white noise as tempered distributions

DOI10.1214/16-AOP1168MaRDI QIDQ682269zbMATH OpenOpenAlexFDO

Authors Robert C. Dalang, Thomas Humeau

Publication date 14 February 2018

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.05274, https://projecteuclid.org/euclid.aop/1513069263

zbMATH Keywords

tempered distributionpositive absolute momentLévy processLévy white noiseLévy random field

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Generalized stochastic processes (60G20) White noise theory (60H40)

Abstract: We identify a necessary and sufficient condition for a L'evy white noise to be a tempered distribution. More precisely, we show that if the L'evy measure associated with this noise has a positive absolute moment, then the L'evy white noise almost surely takes values in the space of tempered distributions. If the L'evy measure does not have a positive absolute moment of any order, then the event on which the L'evy white noise is a tempered distribution has probability zero.

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Cited in

(15)

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• Extinction and persistence in a stochastic Nicholson’s model of blowfly population with delay and Lévy noise
• Wavelet analysis of the Besov regularity of Lévy white noise
• On a family of Levy processes without support in S'
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