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On spectral representation of multivariate stable processes
A. Soltani Shiraz University, Shiraz, Iran
Аннотация:
Let
$X(t)$,
$t\in\mathbf{R}$, be a symmetric
$\alpha$-stable process with independent increments, taking values in
$\mathbf{R}^n$. Let $\mathcal{A}=\overline{\operatorname{sp}}\{X(t)-X(s),\,t,s\in\mathbf{R}\}$. Each
$Y\in\mathcal{A}$ is a stable vector, and
$$
\mathbf{E}\exp(i\gamma\cdot Y)=\exp\left(-\int_S |\langle\gamma,s\rangle|^\alpha\,d\Gamma_Y(s)\right),
$$
where
$S$ is a unit sphere in
$\mathbf{R}^n$. In this work we prove that there is a unique bimeasure
$\pi(\cdot,\cdot)$ on
$\mathcal{B}(\mathbf{R})\times\mathcal{B}(S)$ such that for each
$Y\in\mathcal{A}$ there is a function
$g\in L^\alpha(\pi(\cdot,\mathbf{R}^n))$ such that
$$
\Gamma_Y(\cdot)=\int|g(t)|^\alpha\pi(dt,\cdot).
$$
Some applications of this representation are also discussed.
Ключевые слова:
multivariate stable process, independent increments, spectral representation, bimeasure, spectral measure, symmetric measure.
Поступила в редакцию: 08.02.1991
Язык публикации: английский