Lévy measures on Banach spaces
Jan van Neerven (TU Delft - Electrical Engineering, Mathematics and Computer Science)
Markus Riedle (Technische Universität Dresden, King’s College London)
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Abstract
In this work, we establish an explicit characterisation of Lévy measures on both Lp-spaces and UMD Banach spaces. In the case of Lp-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 Lp-spaces.