On the self-decomposability of Euler's Gamma function (Q1881806)
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English | On the self-decomposability of Euler's Gamma function |
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On the self-decomposability of Euler's Gamma function (English)
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15 October 2004
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Let \(\Gamma\) be Euler's gamma function. It is proved that, for all \(\alpha\neq0\), \(\beta>0\), \(\gamma>0\) and \(\delta>0\), the function \(\big[\Gamma(\gamma+i\alpha z)/\Gamma(\gamma)\beta^{i\alpha z}\big]^\delta\) for \(z\in\mathbb{R}\) is a self-decomposable characteristic function from the Thorin class \(\mathcal{T}_e\) and derive its explicit canonical form. Moreover, several classes of Lévy-type stochastic processes related to \(\Gamma\) are described.
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Euler's gamma function
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gamma distribution
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Gumbel distribution
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self-decomposability
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self-similarity
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Lévy process
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Ornstein-Uhlenbeck-type process
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Esscher transform
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mixed exponential process
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