Fluctuations of Multi-Dimensional Kingman-LÉvy Processes
arXiv:0909.1331
Abstract
In the recent paper \cite{Ng5} we have introduced a method of studying the multi-dimensional Kingman convolutions and their associated stochastic processes by embedding them into some multi-dimensional ordinary convolutions which allows to study multi-dimensional Bessel processes in terms of the cooresponding Brownian motions. Our further aim in this paper is to introduce k-dimensional Kingman-Lévy (KL) processes and prove some of their fluctuation properties which are analoguous to that of k-symmetric Lévy processes. In particular, the Lévy-Itô decomposition and the series representation of Rosiński type for k-dimensional KL-processes are obtained.
15 pages