Intersection Local Times, Loop Soups and Permanental Wick Powers

ISBN-13: 9781470436957 / Angielski

Yves Le Jan;Michael B. Marcus

Opis

Several stochastic processes related to transient Levy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied. They are real valued processes on a space of measures $mathcal$ endowed with a metric $d$. Sufficient conditions are obtained for the continuity of these processes on $(mathcal,d)$. The processes include $n$-fold self-intersection local times of transient Levy processes and permanental chaoses, which are `loop soup $n$-fold self-intersection local times' constructed from the loop soup of the Levy process. Loop soups are also used to define permanental Wick powers, which generalizes standard Wick powers, a class of $n$-th order Gaussian chaoses. Dynkin type isomorphism theorems are obtained that relate the various processes. Poisson chaos processes are defined and permanental Wick powers are shown to have a Poisson chaos decomposition. Additional properties of Poisson chaos processes are studied and a martingale extension is obtained for many of the processes described above.

Spis treści

• Introduction
• Loop measures and renormalized intersection local times
• Continuity of intersection local time processes
• Loop soup and permanental chaos
• Isomorphism Theorem I
• Permanental Wick powers
• Poisson chaos decomposition, I
• Loop soup decomposition of permanental Wick powers
• Poisson chaos decomposition, II
• Convolutions of regularly varying functions
• References