Operator exponents of probability measures and Lie semigroups

DOI10.1214/AOP/1176989817MaRDI QIDQ1196953zbMATH OpenOpenAlexFDO

Authors Zbigniew J. Jurek

Publication date 16 January 1993

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989817

zbMATH Keywords

\(U\)-exponentsinfinitely divisible measuresoperator-self-decomposableself-decomposable measuressymmetry group of a measure

Mathematics Subject Classification ID

Semigroups of transformations, relations, partitions, etc. (20M20) Structure of topological semigroups (22A15) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Infinitely divisible distributions; stable distributions (60E07)

Review text

\(U\)-exponents of probability measure on a linear space are introduced. These are bounded linear operators, and it is shown that the set of all \(U\)-exponents form a Lie wedge for full measures on finite-dimensional spaces. This allows the construction of \(U\)-exponents commuting with the symmetry group of a measure. The set of all commuting exponents is described and elliptically symmetric measures are characterized in terms of their Fourier transforms. Also, self-decomposable measures are identified among those which are operator-self-decomposable. Finally, \(S\)-exponents of infinitely divisible measures are discussed.

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