A New Factorization Property of the Selfdecomposable Probability Measures

MaRDI QIDQ6220743zbMATH OpenFDO

Authors Alexander Iksanov, Zbigniew J. Jurek, Bertram M. Schreiber

Publication date 18 September 2010

Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Abstract: We prove that the convolution of a selfdecomposable distribution with its background driving law is again selfdecomposable if and only if the background driving law is s-selfdecomposable. We will refer to this as the extit{factorization property} of a selfdecomposable distribution; let

L^{f}

denote the set of all these distributions. The algebraic structure and various characterizations of

L^{f}

are studied. Some examples are discussed, the most interesting one being given by the L'evy stochastic area integral. A nested family of subclasses

L_{n}^{f}, n g e 0,

(or a filtration) of the class

L^{f}

is given.

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