Intersection Local Times, Loop Soups and Permanental Wick Powers

Several stochastic processes related to transient Levy processes with potential densities $u(x,y)=u(y-x)$, that need not be symmetric nor bounded on the diagonal, are defined and studied.

They are real valued processes on a space of measures $\mathcal{V}$ endowed with a metric $d$.

Sufficient conditions are obtained for the continuity of these processes on $(\mathcal{V},d)$.

The processes include $n$-fold self-intersection local times of transient Levy processes and permanental chaoses, which are `loop soup $n$-fold self-intersection local times' constructed from the loop soup of the Levy process.

Loop soups are also used to define permanental Wick powers, which generalizes standard Wick powers, a class of $n$-th order Gaussian chaoses.

Dynkin type isomorphism theorems are obtained that relate the various processes.

Poisson chaos processes are defined and permanental Wick powers are shown to have a Poisson chaos decomposition.

Additional properties of Poisson chaos processes are studied and a martingale extension is obtained for many of the processes described above.