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0 votes
1 answer
450 views

A complex question related to a certain convergence of Lévy measures

Consider the sequence of stochastic processes $(X_n, n \geq 1)$, where $X_n = (X_{t;n})_{t\in \mathbb Z}$ and: \begin{equation}\label{I}\tag{SP} X_{t;n} = \sum_{j=0}^\infty \theta_{jn} \varepsilon_{t-...
1 vote
1 answer
156 views

How to show that $\int x \,d\nu = 0$ using a pseudo-weak convergence of measures?

I have a sequence of $p$-dimensional infinitely divisible random vectors $S_n'$, such that $S_n' \Longrightarrow X$, as $n \to \infty$. Suppose the following assumptions The characteristic functions ...
1 vote
0 answers
175 views

Interpretation of the Lévy measure of an infinitely divisible random vector

We know that a random vector $X$ is infinitely divisible (ID) if for all $n \in \mathbb N$, there exist $X_1^n,..., X_{n}^n$ i.i.d. random vectors such that: \begin{equation} X = X_1^n + ...+ X_n^...
2 votes
1 answer
808 views

A question about the proof of the Levy-Khintchine representation Theorem

I'm studying Infinitely Divisible random variables using this Lecture Notes. And I have a question that is driving me crazy. In the proof of the "only if" part of the Levy-Khintchine ...
1 vote
0 answers
47 views

How do we need to argue in this step of the Itō-Lévy-Khintchine decomposition?

Let $E$ be a $\mathbb R$-Banach space; $(\Omega,\mathcal A,\operatorname P)$ be a probability space; $(\mathcal F_t)_{t\ge0}$ be a filtration on $(\Omega,\mathcal A)$; $(X_t)_{t\ge0}$ be an $E$-...
1 vote
0 answers
191 views

Characterization of Poisson random measure in terms of Laplace transform

Let $(E,\mathcal E)$ be a measurable space and $\mu$ be a measure on $(E,\mathcal E)$. A random measure $\pi$ on $(E,\mathcal E)$ is called Poisson with intensity $\mu$ if $\pi(B)\sim\operatorname{...
3 votes
1 answer
626 views

Can we show that the characteristic function of an infinitely divisible probability measure has no zeros

Let $E$ be a normed $\mathbb R$-vector space, $\mu$ be a probability measure on $\mathcal B(E)$ and $\varphi_\mu$ denote the characteristic function$^1$ of $\mu$. Assume $\mu$ is infinitely divisible, ...
1 vote
1 answer
243 views

Poisson point process in polar coordinates

Let $D = \mathbb{R^+} \times (\mathbb{R}\backslash \{0\})$ Let $\mu(dt \times dx)$ be a $\sigma$-finite measure on the Borel $\sigma$-algebra $\sigma(D)$. Let $M(dt \times dx)$ be the Poisson random ...
0 votes
1 answer
134 views

How can we show this estimate for the convolution of two probability measures?

Let $(\delta_k)_{k\in\mathbb N}\subseteq(0,\infty)$ be nonincreasing with $\delta_k\xrightarrow{k\to\infty}0$ and $(\varepsilon_k)_{k\in\mathbb N}\subseteq(0,\infty)$ with $\sum_{k\in\mathbb N}\...
3 votes
1 answer
278 views

Is this statement of the Lévy–Khintchine formula ill-posed?

Please take a look at the following statement of the Lévy–Khintchine formula given in Probability Theory: A Comprehensive Course (2nd edition)$^1$: Am I missing something or is this an ill-posed ...
2 votes
2 answers
322 views

If $(\exp(\mu_n))_{n\in\mathbb N}$ is weakly convergent, is the normalized sequence convergent as well?

Let $E$ be a metric space and $\mathcal M(E)$ denoote the space of finite signed measures on $\mathcal B(E)$ equipped with the total variation norm $\left\|\;\cdot\;\right\|$. I would like to know ...
1 vote
1 answer
154 views

If $L_t=\sum_{i=1}^{N_t}Y_i$ is a compound Poisson process, then $\left|\left\{s\in[0,t]:\Delta L_s\in B\right\}\right|=\sum_{i=1}^{N_t}1_B(Y_i)$

Let $H$ be a $\mathbb R$-Hilbert space, $\mu$ be a finite measure on $\mathcal B(H)$ with $\mu(\{0\})=0$ and $(L_t)_{t\ge0}$ be a $H$-valued càdlàg Lévy process on a probability space $(\Omega,\...
0 votes
0 answers
150 views

Define the convolution root of probability measures on a measurable group

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 ...
-1 votes
1 answer
92 views

Is the distribution of a Banach space valued Lévy process uniquely determined by its characteristic function?

Let $E$ be a $\mathbb R$-Banach space. Remember that if $\mu$ is a finite measure on $\mathcal B(E)$ then $$\Phi_\mu:E'\to\mathbb C\;,\;\;\;\varphi\mapsto\int\mu({\rm d}x)e^{{\rm i}\varphi(x)}$$ is ...