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Let $(G,\mathcal G)$ be a measurable group and $\nu^{\ast k}$ denote the $k$th convolution power of a probability measure $\nu$ on $(G,\mathcal G)$ for $k\in\mathbb N$.

Remember that a probability measure $\mu$ on $(G,\mathcal G)$ is called infinitely divisible if for all $k\in\mathbb N$, there is a probability measure $\nu_k$ on $(G,\mathcal G)$ with $\mu=\nu_k^k$.

A priori, it is not clear whether or not the $\nu_k$ are uniquely determined by $\mu$ and hence whether or not the $k$th convolution root $\mu^{\ast1/k}:=\nu_k$ is well-defined.

Are we able to show well-definedness and extend the convolution root to arbitrary (nonnegative) real numbers?

It's clear to me how we can show well-definedness and construct the desired $t$th convolution root for arbitrary $t\ge0$ whenever we assume that $G$ is a normed $\mathbb R$-vector space and $\mathcal G=\mathcal B(G)$, since then the whole problem can be reformulated in terms of characteristic functions.

Remark: I'm especially interested in convolution semigroups $(\mu_t)_{t\ge0}$, i.e. families of probability measures on $(G,\mathcal G)$ satisfying $\mu_{s+t}=\mu_s\ast\mu_t$ for all $s,t\ge0$. It obviously holds $\mu_t=\mu_{t/k}^{\ast k}$ for all $k\in\mathbb N$ and hence $\mu_t$ is infinitely divisible for all $t\ge0$. As before, I would like to show that $\mu_t^{\ast1/k}:=\mu_{\frac tk}$ is well-defined and we can extend this definition to arbitrary convolution roots.

Maybe we need at least to assume that $G$ is a metric space and $\mathcal G=\mathcal B(G)$. Then we could assume that $(\mu_t)_{t\ge0}$ is "continuous", i.e. $\mu_t\xrightarrow{t\to0+}\delta_0$ weakly (which is equivalent to $\mu_t(B_\varepsilon(0))\xrightarrow{t\to0+}1$ for all $\varepsilon>0$).

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    $\begingroup$ The Dirac measure $\delta_0$ on $\mathbb{Z}_2 = \{0, 1\}$ is clearly infinitely divisible, but since $\delta_0 * \delta_0 = \delta_1 * \delta_1 = \delta_0$, the $2k$-th convolution root of $\delta_0$ is not unique. $\endgroup$ Commented Nov 10, 2020 at 20:51
  • $\begingroup$ Another trivial remark: the same construction works for a circle group $\{e^{it} : t \in [0, 2\pi)\}$. In this case $\delta_1$ can be realised as $\mu_1$ for $\mu_t = \delta_{\exp(2\pi i n t)}$ for an arbitrary $n \in \mathbb{Z}$, so again there's no uniqueness here. $\endgroup$ Commented Nov 10, 2020 at 21:25
  • $\begingroup$ @MateuszKwaśnicki I see, but can we give a positive result somewhere in-between arbitrary groups and Banach spaces (e.g. for metric spaces)? In any case, as I pointed out in the question, I would really like to know whether we can show the well-defined/uniqueness without the use of the characteristic function (e.g. by using that weak limits of infinitely divisible measures are infinitely divisible); even in the Banach space case. Or at least for continuous convolution semigroups. $\endgroup$
    – 0xbadf00d
    Commented Nov 11, 2020 at 5:43
  • $\begingroup$ I am afraid I do not know the answer, but the question would be much easier to answer if you stated explicitly what you are after: abelian/non-abelian locally compact groups? Lie groups? Discrete objects? My rough intuition is that what you need is that the dual group is connected, so that characteristic functions of ID measures are non-vanishing. $\endgroup$ Commented Nov 11, 2020 at 7:17
  • $\begingroup$ @MateuszKwaśnicki I'll try to edit the question, but can you say something about the proof without characteristic functions and something about the convolution semigroups? $\endgroup$
    – 0xbadf00d
    Commented Nov 11, 2020 at 7:21

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