The product of independent random variables with regularly varying tails (Q5937982)

The distribution of the product \(XY\) of two independent positive random variables with distributions \(\mu\) and \(\nu\), respectively, is called the Mellin-Stieltjes convolution and denoted by \(\mu\circ\nu\). The class \({\mathcal D}(\alpha)\) of distributions on \((0,\infty)\), that have regularly varying tails with an index \(-\alpha\), \(\alpha> 0\), is closed under the MS convolution. The author obtains some representation of a regularly varying function and applies it in proving that there are two distributions \(\mu\overline\in {\mathcal D}(\alpha)\) and \(\nu\overline\in{\mathcal D}(\alpha)\) such that \(\mu\circ\nu\in {\mathcal D}(\alpha)\).