On unimodal Lévy processes on the nonnegative integers (Q1203592): Difference between revisions
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Latest revision as of 01:38, 20 March 2024
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English | On unimodal Lévy processes on the nonnegative integers |
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On unimodal Lévy processes on the nonnegative integers (English)
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10 February 1993
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A Lévy process \(X_ t\), \(t\geq 0\), is said to be unimodal if the distribution of \(X_ t\) is unimodal for all \(t\). It is known that the discrete self-decomposable processes are unimodal, and hence also the discrete stable processes [see reviewer and \textit{K. Van Harn}, Ann. Probab. 7, 893-899 (1979; Zbl 0418.60020)]. The author considers \(\mathbb{Z}_ +\)-valued Lévy processes with Lévy measure given by \(\nu(\{n\})=k_ n/n\), \(n=0,1,\dots,\) and he proves that the corresponding process is unimodal iff \(k_ 1\geq k_ 2\) and \(k_ 1k_ 3\leq k^ 2_ 1-k_ 1k_ 2+k^ 2_ 2\). Examples are given of independent, unimodal Lévy processes, the sum of which is, of course, again a Lévy process, but which is not unimodal. It is also shown that the Poisson mixture of an \(\mathbb{R}_ +\)-valued Lévy process is unimodal if and only if the mixing process is unimodal. There are connections with the work of Wolfe, Yamazato, Forst, and the reviewer.
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self-decomposable processes
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Lévy processes
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unimodal Lévy processes
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Poisson mixture
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