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The Domain of Definition of the Lévy White Noise

J. Fageot, T. Humeau

Stochastic Processes and Their Applications, vol. 135, pp. 75–102, May 2021.

It is possible to construct Lévy white noises as generalized random processes in the sense of Gel’fand and Vilenkin, or as an independently scattered random measures introduced by Rajput and Rosinski. In this article, we unify those two approaches by extending the Lévy white noise ̇X, defined as a generalized random process, to an independently scattered random measure. We are then able to give general integrability conditions for Lévy white noises, thereby maximally enlarging their domain of definition. Based on this connection, we provide new criteria for the practical determination of the domain of definition, including specific results for the subfamilies of Gaussian, symmetric-α-stable, generalized Laplace, and compound Poisson white noises. We also apply our results to formulate a general criterion for the existence of generalized solutions of linear stochastic partial differential equations driven by a Lévy white noise.

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AUTHOR="Fageot, J. and Humeau, T.",
TITLE="The Domain of Definition of the L{\'{e}}vy White Noise",
JOURNAL="Stochastic Processes and Their Applications",
YEAR="2021",
volume="135",
number="",
pages="75--102",
month="May",
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