On the closure under infinitely divisible distribution roots (Q2142457)

Let \(H\) be an infinitely divisible distribution supported on \([0,\infty)\) and \(F\) the corresponding Lévy distribution. Within the context of the Embrechts-Goldie conjecture, the authors study the class of distributions \((\mathcal{L}(\gamma)\cap\mathcal{OS})\setminus\mathcal{S}(\gamma)\), for some \(\gamma>0\), where \begin{itemize} \item \(\mathcal{L}(\gamma)\) is a generalization of the class of long-tailed distributions, whose tail satisfies \(\overline{F}(x-t)\sim e^{\gamma t}\overline{F}(x)\) for each \(t\), \item for \(F\in\mathcal{L}(\gamma)\) and \(m(F)=\int_0^\infty e^{\gamma y}F(dy)<\infty\), \(F\) is said to belong to the class \(\mathcal{S}(\gamma)\) if the tail of the convolution \(\overline{F^{*2}}(x)\sim2m(F)\overline{F}(x)\), generalizing the subexponential distributions, and \item \(F\in\mathcal{OS}\) if \(\limsup\frac{\overline{F^{*2}}(x)}{\overline{F}(x)}<\infty\). \end{itemize} Their main result is that for some infinitely divisible distributions belonging to the class \((\mathcal{L}(\gamma)\cap\mathcal{OS})\setminus\mathcal{S}(\gamma)\), the corresponding Levy distributions do not. This is shown via results on the closure of the class \(\mathcal{L}(\gamma)\) under convolution and on a certain construction of light-tailed distributions from heavy-tailed distributions. The authors also provide two conditions (shown to be necessary in a certain sense) under which the convolution \(F^{*2}\in\mathcal{L}(\gamma)\) implies that \(F\in\mathcal{L}(\gamma)\) also.