Radonifying operators and infinitely divisible Wiener integrals

MaRDI QIDQ3464095zbMATH OpenFDO

Authors M. Riedle

Publication date 20 January 2016

Full work available at URL https://arxiv.org/abs/1506.05142

zbMATH Keywords

cylindrical measureinfinitely divisiblereproducing kernel Hilbert spacestochastic integral

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Linear operators in reproducing-kernel Hilbert spaces (including de Branges, de Branges-Rovnyak, and other structured spaces) (47B32) Infinitely divisible distributions; stable distributions (60E07) Stochastic integrals (60H05)

Abstract: In this article we illustrate the relation between the existence of Wiener integrals with respect to a Levy process in a separable Banach space and radonifying operators. For this purpose, we introduce the class of theta-radonifying operators, i.e. operators which map a cylindrical measure theta to a genuine Radon measure. We study this class of operators for various examples of infinitely divisible cylindrical measures theta and highlight the differences from the Gaussian case.

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Cited in

(1)

• Radonification of a cylindrical Lévy process

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