Lévy Processes and Lévy White Noise as Tempered Distributions

Robert C. Dalang, Thomas Humeau

Published 2015-09-17Version 1

We identify a necessary and sufficient condition for a L\'evy white noise to be a tempered distribution. More precisely, we show that if the L\'evy measure associated with this noise has a positive absolute moment, then the L\'evy white noise almost surely takes values in the space of tempered distributions. If the L\'evy measure does not have a positive absolute moment of any order, then the event on which the L\'evy white noise is a tempered distribution has probability zero.