Ergodic properties of Poissonian ID processes

Details Ergodic properties of Poissonian ID processes Ergodic properties of Poissonian ID processes

2007-07-25

arxiv.org/abs/0707.3746v1

Annals of Probability 2007, Vol. 35, No. 2, 551-576

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117906000000692 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117906000000692

We show that a stationary IDp process (i.e., an infinitely divisible stationary process without Gaussian part) can be written as the independent sum of four stationary IDp processes, each of them belonging to a different class characterized by its L\'{e}vy measure. The ergodic properties of each class are, respectively, nonergodicity, weak mixing, mixing of all order and Bernoullicity. To obtain these results, we use the representation of an IDp process as an integral with respect to a Poisson measure, which, more generally, has led us to study basic ergodic properties of these objects.

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