Remarks on factorization property of some stochastic integrals

Zbigniew J. Jurek

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arXiv · 1304.7510

Remarks on factorization property of some stochastic integrals

Zbigniew J. Jurek

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Abstract

In the paper Sato (2006) there are introduced two families of improper random integrals and the corresponding two convolution semigroups of infinitely divisible laws on $\Rset^d$. Theorem 3.1 gives a relation (a factorization property) between those two integrals. Here, using \emph{the random integral mappings} $I^{h,r}_{(a,b]}$ (cf. the survey article Jurek (2011)), we give a simpler proof that is also valid for measures on Banach spaces. Furthermore, using our technique we establish yet other relations between those two families of improper stochastic integrals.

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Zbigniew J. Jurek. 2013-04-28. Remarks on factorization property of some stochastic integrals. https://arxiv.org/abs/1304.7510

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