All Questions
14 questions
0
votes
1
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450
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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-...
- 13
2
votes
1
answer
808
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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 ...
- 123
1
vote
1
answer
156
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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 ...
- 13
1
vote
0
answers
175
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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^...
- 13
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, ...
- 167
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 $E$-...
- 167
1
vote
0
answers
191
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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{...
- 167
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 ...
- 167
1
vote
1
answer
243
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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 ...
- 103
3
votes
1
answer
279
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 ...
- 167
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}\...
- 167
1
vote
1
answer
154
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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,\...
- 167
0
votes
0
answers
150
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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 ...
- 167
-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 ...
- 167