A subclass of type \(G\) selfdecomposable distributions on \(\mathbb R^d\) (Q2481397): Difference between revisions

A class of \(d\)-variate self-decomposable probability distributions that are type \(G\) (infinitely divisible), is introduced and it is characterized in terms of stochastic integrals with respect to Levy processes. Some properties of the class are revealed, pointing out, in particular, that this class is a proper subclass of the class of \(d\)-variate probability distributions that are type \(G\) and self-decomposable, and that, in the univariate case, it is strictly bigger than the class of variance-mixtures of normal distributions, for which the mixing distributions are self-decomposable. As to how this class compares with some of the other known classes of infinitely divisible distributions is also studied.