Sample path properties of permanental processes

DOI10.1214/18-EJP183MaRDI QIDQ1663880zbMATH OpenOpenAlexFDO

Authors Michael B. Marcus, Jay Rosen

Publication date 24 August 2018

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1708.09431, https://projecteuclid.org/euclid.ejp/1528704076

zbMATH Keywords

permanental processessubgaussian processesmoduli of continuity of permanental processespermanental processes at infinity

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stochastic analysis (60H99)

Abstract: Let $X_{alpha}=X_{alpha}(t),tinT$, $alpha>0$, be an $alpha$-permanental process with kernel $u(s,t)$. We show that $X_{alpha}^{1/2}$ is a subgaussian process with respect to the metric $sigma(s,t)=(u(s,s)+u(t,t)-2(u(s,t)u(t,s){)}^{1/2}{)}^{1/2}$. This allows us to use the vast literature on sample path properties of subgaussian processes to extend these properties to $alpha$-permanental processes. Local and uniform moduli of continuity are obtained as well as the behavior of the processes at infinity. Examples are given of permanental processes with kernels that are the potential density of transient L'evy processes that are not necessarily symmetric, or with kernels of the form $hatu(x,y)=u(x,y)+f(y)$, where $u$ is the potential density of a symmetric transient Borel right process and $f$ is an excessive function for the process.

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Cited in

(14)

• Permanental sequences related to a Markov chain example of Kolmogorov
• Lévy measures of infinitely divisible positive processes: examples and distributional identities
• On permanental processes
• Necessary and sufficient conditions for the continuity of permanental processes associated with transient Lévy processes
• Asymptotic properties of permanental sequences. Related to birth and death processes and autoregressive Gaussian sequences
• A Sample-Path Condition for the Asymptotic Uniform Distribution of Clearing Processes
• Sample path properties of ergodic self-similar processes
• When does a càdlàg process have continuous sample paths?
• Conditions for permanental processes to be unbounded
• Permanental processes
• Permanental processes with kernels that are not equivalent to a symmetric matrix
• Sample path properties of Volterra processes
• Hafnian point processes and quasi-free states on the CCR algebra
• Sample path properties of the average generation of a Bellman-Harris process

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