Measuring the range of an additive Lévy process
Khoshnevisan, Davar ; Xiao, Yimin ; Zhong, Yuquan
Ann. Probab., Tome 31 (2003) no. 1, p. 1097-1141 / Harvested from Project Euclid
The primary goal of this paper is to study the range of the random field $X(t) = \sum_{j=1}^N X_j(t_j)$, where $X_1,\ldots, X_N$\vspace*{-1pt} are independent Lévy processes in $\R^d$. ¶ To cite a typical result of this paper, let us suppose that $\Psi_i$ denotes the Lévy exponent of $X_i$ for each $i=1,\ldots,N$. Then, under certain mild conditions, we show that a necessary and sufficient condition for $X(\R^N_+)$ to have positive $d$-dimensional Lebesgue measure is the integrability of the function $\R^d \ni \xi \mapsto \prod_{j=1}^N \Re \{ 1+ \Psi_j(\xi)\}^{-1}$. This extends a celebrated result of Kesten and of Bretagnolle in the one-parameter setting. Furthermore, we show that the existence of square integrable local times is yet another equivalent condition for the mentioned integrability criterion. This extends a theorem of Hawkes to the present random fields setting and completes the analysis of local times for additive Lévy processes initiated in a companion by paper Khoshnevisan, Xiao and Zhong.
Publié le : 2003-04-14
Classification:  Additive Lévy processes,  strictly stable processes,  capacity,  energy,  local times,  Hausdorff dimension,  60G60,  60J55,  60J45
@article{1048516547,
     author = {Khoshnevisan, Davar and Xiao, Yimin and Zhong, Yuquan},
     title = {Measuring the range of an additive L\'evy process},
     journal = {Ann. Probab.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 1097-1141},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1048516547}
}
Khoshnevisan, Davar; Xiao, Yimin; Zhong, Yuquan. Measuring the range of an additive Lévy process. Ann. Probab., Tome 31 (2003) no. 1, pp.  1097-1141. http://gdmltest.u-ga.fr/item/1048516547/