The set-indexed Lévy processes

Stochastics Seminar
Thursday, May 6, 2010 - 15:00
1 hour (actually 50 minutes)
Skiles 269
Ecole Centrale Paris
The aim of this joint work with Ely Merzbach is to present a satisfactory definition of the class of set-indexedL\'evy processes including the set-indexed Brownian motion, the spatial Poisson process, spatial compound Poisson processesand some other stable processes and to study their properties. More precisely, the L\'evy processes are indexed by a quite general class $\mathcal{A}$ of closed subsets in a measure space $(\mathcal{T} ,m)$. In the specific case where $\mathcal{T}$ is the $d$-dimensional rectangle$[0 ,1]^d$ and $m$ is the Lebesgue measure, a special kind of this definition was given and studied by Bass and Pyke and by Adler and Feigin. However, in our framework the parameter set is more general and, it will be shown that no group structure is needed in order to define the increment stationarity property for L\'evy processes.