Infinite divisibility of solutions to some self-similar integro-differential equations and exponential functionals of Lévy processes (Q731728)

This paper is concerned with analytic properties of monotone eigenfunctions associated to a family of integro-differential operators with parameters. First, the authors obtain that the increasing eigenfunctions are uniquely determined by the distribution of a spectrally negative, infinitely divisible random variable, with characteristic exponent \(\psi\). The eigenfunctions are expressed in terms of a new family of power series which includes for instance the modified Bessel functions of the first kind and generalized Mittag-Leffler functions. In the second part of the paper the authors prove that some specific combinations of these increasing eigenfunctions are in fact Laplace transforms of self-decomposable or infinitely divisible distributions concentrated on the positive line with respect to the main argument. Finally, associated decreasing eigenfunctions are considered and their properties.