Lamperti-type laws (Q990380): Difference between revisions

Lamperti random variables (rvs) \(X_{\alpha,\theta}\) are defined as \(X_{\alpha,\theta} = S_{\alpha}/ S_{\alpha,\theta}\), where \(S_{\alpha}\) is the positive stable rv with Laplace transform \(\exp(-\lambda^{\alpha})\), and \(X_{\alpha,\theta}\) as the same rv, but `tilted' by a factor \(t^{-\theta}\); numerator and denominator are independent. Rather surprisingly, these random variables have simple explicit densities; the same is true of some functions of these rvs. There are connections with \(z\)-distributions, continuous-state branching processes, Bessel bridges, and Linnik processes. Many applications are discussed.