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Book
Intersection local times, loop soups, and permanental wick powers
Authors: --- ---
ISBN: 9781470436957 Year: 2017 Publisher: Providence, Rhode Island : American Mathematical Society,


Book
Intersection local times, loop soups, and permanental wick powers
Authors: --- ---
ISBN: 1470437031 Year: 2017 Publisher: Providence, Rhode Island : American Mathematical Society,

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Abstract

Several stochastic processes related to transient Lévy 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{V} endowed with a metric d. Sufficient conditions are obtained for the continuity of these processes on (mathcal{V},d). The processes include n-fold self-intersection local times of transient Lévy processes and permanental chaoses, which are `loop soup n-fold self-intersection local times' constructed from the loop soup of the Lévy 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.

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