Stability equations for processes with stationary independent increments using branching processes and Poisson mixtures (Q2366182): Difference between revisions
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English | Stability equations for processes with stationary independent increments using branching processes and Poisson mixtures |
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Stability equations for processes with stationary independent increments using branching processes and Poisson mixtures (English)
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29 June 1993
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Let \(X(t)\), \(t\geq 0\), be an \(R\)-valued stochastic process, continuous or discrete-time, continuous in distribution, with \(X(0)=0\) and with stationary, independent increments (sii-process). An equation of the type \(X(a)=W^{1/\alpha}X(b)\) is called stability equation, where \(0<a<b\), \(\alpha>0\) and \(W\) is uniformly distributed on (0,1) and independent of the sii-process \(X(t)\). Some authors solved the stability equation under various conditions and considered discrete analogues of the stability equation \((X(t)\) is a \(Z_ +\)-valued sii-process and a product of \(W^{1/\alpha}\) and \(X(b)\) has some nontraditional sense). The stability equation is generalized and applied to a generalized multiplication operation for subcritical branching processes. The solutions of the equation so obtained are related to the concepts of self-decomposability and stability, both in the classical and in extended sense. The solutions for \(R_ +\)-valued r.v. are obtained from those of \(Z_ +\)-valued r.v. by way of Poisson mixtures. There are also some new results on (generalized) unimodality.
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stable self-decomposable and infinitely divisible distributions
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generalized multiplication operation
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subcritical branching processes
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Poisson mixtures
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