Lévy processes with values in locally convex Suslin spaces
arXiv:1510.00538
Abstract
We provide a Lévy-Itô decomposition of sample paths of Lévy processes with values in complete locally convex Suslin spaces. This class of state spaces contains the well investigated examples of separable Banach spaces, as well as Fréchet or distribution spaces among many others. Sufficient conditions for the existence of a pathwise compensated Poisson integral handling infinite activity of the Lévy process are given.