The Annals of Probability

Conditions for permanental processes to be unbounded

Michael B. Marcus and Jay Rosen

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Abstract

An $\alpha$-permanental process $\{X_{t},t\in T\}$ is a stochastic process determined by a kernel $K=\{K(s,t),s,t\in T\}$, with the property that for all $t_{1},\ldots,t_{n}\in T$, $\vert I+K(t_{1},\ldots,t_{n})S\vert^{-\alpha}$ is the Laplace transform of $(X_{t_{1}},\ldots,X_{t_{n}})$, where $K(t_{1},\ldots,t_{n})$ denotes the matrix $\{K(t_{i},t_{j})\}_{i,j=1}^{n}$ and $S$ is the diagonal matrix with entries $s_{1},\ldots,s_{n}$. $(X_{t_{1}},\ldots,X_{t_{n}})$ is called a permanental vector.

Under the condition that $K$ is the potential density of a transient Markov process, $(X_{t_{1}},\ldots,X_{t_{n}})$ is represented as a random mixture of $n$-dimensional random variables with components that are independent gamma random variables. This representation leads to a Sudakov-type inequality for the sup-norm of $(X_{t_{1}},\ldots,X_{t_{n}})$ that is used to obtain sufficient conditions for a large class of permanental processes to be unbounded almost surely. These results are used to obtain conditions for permanental processes associated with certain Lévy processes to be unbounded.

Because $K$ is the potential density of a transient Markov process, for all $t_{1},\ldots,t_{n}\in T$, $A(t_{1},\ldots,t_{n}):=(K(t_{1},\ldots,t_{n}))^{-1}$ are $M$-matrices. The results in this paper are obtained by working with these $M$-matrices.

Article information

Source
Ann. Probab., Volume 45, Number 4 (2017), 2059-2086.

Dates
Received: January 2015
Revised: November 2015
First available in Project Euclid: 11 August 2017

Permanent link to this document
https://projecteuclid.org/euclid.aop/1502438422

Digital Object Identifier
doi:10.1214/16-AOP1091

Mathematical Reviews number (MathSciNet)
MR3693957

Zentralblatt MATH identifier
06786076

Subjects
Primary: 60K99: None of the above, but in this section 60J55: Local time and additive functionals 60G15: Gaussian processes 60G17: Sample path properties

Keywords
Permanental processes $M$-matrices

Citation

Marcus, Michael B.; Rosen, Jay. Conditions for permanental processes to be unbounded. Ann. Probab. 45 (2017), no. 4, 2059--2086. doi:10.1214/16-AOP1091. https://projecteuclid.org/euclid.aop/1502438422


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