Lévy processes and stochastic integrals in the sense of generalized convolutions

M. Borowiecka-Olszewska; B. H. Jasiulis-Gołdyn; J. K. Misiewicz; J. Rosiński

doi:10.3150/14-bej653

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arXiv · 1312.4083

Lévy processes and stochastic integrals in the sense of generalized convolutions

M. Borowiecka-Olszewska·B. H. Jasiulis-Gołdyn·J. K. Misiewicz·J. Rosiński

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Abstract

In this paper, we present a comprehensive theory of generalized and weak generalized convolutions, illustrate it by a large number of examples, and discuss the related infinitely divisible distributions. We consider Lévy and additive process with respect to generalized and weak generalized convolutions as certain Markov processes, and then study stochastic integrals with respect to such processes. We introduce the representability property of weak generalized convolutions. Under this property and the related weak summability, a stochastic integral with respect to random measures related to such convolutions is constructed.

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M. Borowiecka-Olszewska, B. H. Jasiulis-Gołdyn, J. K. Misiewicz, J. Rosiński. 2015-09-28. Lévy processes and stochastic integrals in the sense of generalized convolutions. https://doi.org/10.3150/14-bej653

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