Lévy Processes and Lévy White Noise as Tempered Distributions

Robert C. Dalang; Thomas Humeau

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arXiv · 1509.05274

Lévy Processes and Lévy White Noise as Tempered Distributions

Robert C. Dalang·Thomas Humeau

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Abstract

We identify a necessary and sufficient condition for a Lévy white noise to be a tempered distribution. More precisely, we show that if the Lévy measure associated with this noise has a positive absolute moment, then the Lévy white noise almost surely takes values in the space of tempered distributions. If the Lévy measure does not have a positive absolute moment of any order, then the event on which the Lévy white noise is a tempered distribution has probability zero.

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Robert C. Dalang, Thomas Humeau. 2015-09-17. Lévy Processes and Lévy White Noise as Tempered Distributions. https://arxiv.org/abs/1509.05274

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