Remarks on the selfdecomposability and new examples (Q2732341)

After an introduction to infinite divisibility and self-decomposability the author reviews some criteria for self-decomposability and some construction methods of self-decomposable random variables and distributions. These constructions are connected to self-similarity properties of stable and other Lévy processes. He uses these properties to obtain interesting examples of self-decomposable distributions, for instance, the self-decomposability of some characteristic functions of the form \(\pi(- \log \varphi(u))\), where \(\pi\) is infinitely divisible and \(\varphi\) is self-decomposable. Other examples concern first-passage times and stopped Lévy processes.