Supports of Certain Infinitely Divisible Probability Measures on Locally Convex Spaces
Rajput, Balram S.
Ann. Probab., Tome 21 (1993) no. 4, p. 886-897 / Harvested from Project Euclid
Let $\mathbf{B}$ be a separable Banach space and let $\mu$ be a centered Poisson probability measure on $\mathbf{B}$ with Levy measure $M$. Assume that $M$ admits a polar decomposition in terms of a finite measure $\sigma$ on the unit sphere of $\mathbf{B}$ and a Levy measure $\rho$ on $(0, \infty)$. The main result of this paper provides a complete description of the structure of $\mathscr{J}_\mu$, the support of $\mu$. Specifically, it is shown that: (i) if $\int_{(0, 1\lbrack} s\rho(ds) = \infty$, then $\mathscr{J}_\mu$ is a linear space and is equal to the closure of the semigroup generated by $\mathscr{J}_M$ (the support of $M$) and the negative of the barycenter of $\sigma$; and (ii) if $\int_{(0, 1\rbrack} s\rho(ds) < \infty$ and zero is in the support of $\rho$, then $\mathscr{J}_\mu$ is a convex cone and is equal to the closure of the semigroup generated by $\mathscr{J}_M$. The result (i) yields an affirmative answer to the question, open for some time, of whether the support of a stable probability measure of index $1 \leq \alpha < 2$ on $B$ is a translate of a linear space. Analogs of these results, for both Poisson and stable probability measures defined on general locally convex spaces, are also provided.
Publié le : 1993-04-14
Classification:  Infinitely divisible and stable probability measures,  topological support,  60B11,  60E07
@article{1176989272,
     author = {Rajput, Balram S.},
     title = {Supports of Certain Infinitely Divisible Probability Measures on Locally Convex Spaces},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 886-897},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989272}
}
Rajput, Balram S. Supports of Certain Infinitely Divisible Probability Measures on Locally Convex Spaces. Ann. Probab., Tome 21 (1993) no. 4, pp.  886-897. http://gdmltest.u-ga.fr/item/1176989272/