Lévy measures on Banach spaces

2024/06/13 by van Neerven, Jan, Riedle, Markus
#60E05 60G57 #60H05 #FOS: Mathematics #Functional Analysis (math.FA) #Primary: 60B05 #Probability (math.PR) #Secondary: 46B09

paper · doi:10.48550/arxiv.2406.09362

Abstract

We establish an explicit characterisation of Lévy measures on both L^p-spaces and UMD Banach spaces. In the case of L^p-spaces, Lévy measures are characterised by an integrability condition, which directly generalises the known description of Lévy measures on sequence spaces. The latter has been the only known description of Lévy measures on infinite dimensional Banach spaces that are not Hilbert. Lévy measures on UMD Banach spaces are characterised by the finiteness of the expectation of a random γ-radonifying norm. Although this description is more abstract, it reduces to simple integrability conditions in the case of L^p-spaces.

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