Aarhus University Seal / Aarhus Universitets segl

Selfdecomposable Fields

By Ole E. Barndorff-Nielsen, Orimar Sauri and Benedykt Szozda
Thiele Research Reports
No. 02, February 2015
Abstract:

In the present paper we study selfdecomposability of random fields, as defined directly rather than in terms of finite-dimensional distributions. The main tools in our analysis are the master Lévy measure and the associated Lévy-Itô representation. We give the dilation criterion for selfdecomposability analogous to the classical one. Next, we give necessary and sufficient conditions (in terms of the kernel functions) for a Volterra field driven by a Lévy basis to be selfdecomposable. In this context we also study the so-called Urbanik classes of random fields. We follow this with the study of existence and selfdecomposability of integrated Volterra fields. Finally, we introduce infinitely divisible field-valued Lévy processes, give the Lévy-Itô representation associated with them and study stochastic integration with respect to such processes. We provide examples in the form of Lévy semistationary processes with a Gamma kernel and Ornstein-Uhlenbeck processes.

Keywords: selfdecomposability of random fields, Urbanik classes of random fields, random fields, Volterra fields

Format available: PDF (598.4 kb)