On Stein's method for multivariate self-decomposable laws (Q2279323)

The paper is a continuation of the authors' study on Stein's method for multivariate self-decomposable laws [Electron. J. Probab. 24, Paper No. 29, 33 p. (2019; Zbl 1466.60027)] mainly to the infinite mean case. Of particular interest are multivariate \(\alpha\)-stable laws with \(\alpha\in(0,1]\). The generator of the corresponding semigroup has a non-local part depending on the Lévy measure of the infinitely divisible self-decomposable law for which \(C^1\)-regularity is obtained using a polar decomposition of the Lévy measure. The corresponding Stein equation is solved using a combination of semigroup and Fourier analytic techniques. Based on the semigroup of non-local operators the authors further derive Poincaré-type inequalities for self-decomposable laws with finite first moment. In particular, for rotationally symmetric \(\alpha\)-stable laws with \(\alpha\in(1,2)\) the authors show that a Bakry-Émery criterion holds and obtain some quantities such as carré du champs and its iterates. Based on these, rigidity and stability results for the Poincaré-ratio functional are obtained by a spectral analysis and Dirichlet form theory.