Operator geometric stable laws

DOI10.1016/J.JMVA.2003.09.004MaRDI QIDQ1765616zbMATH OpenOpenAlexFDO

Authors Tomasz J. Kozubowski, Mark M. Meerschaert, Anna K. Panorska, Hans-Peter Scheffler

Publication date 23 February 2005

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2003.09.004

zbMATH Keywords

(operator) geometric stabilitygeometric infinite divisibilityLaplace distributionLinnik distributionrandom limit theorems

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Review text

Operator geometric stable laws (OGS) on a vector space \(\mathbb{R}^d\) are limits of randomized affine normalized sums \(A_p\sum_1^{N_p}(X_i + b_b)\), \(p\to 0\), where \(X_i\) are iid and \(N_p\) is a geometrically distributed random variable (with mean \(1/p\)) which is independent from \(X_i, i\in \mathbb{N}\). If \(Y\) is OGS, then the array \(X_i\) is said to belong to the domain of (geometric stable) attraction of \(Y\). First the paper collects some general properties of OGS and operator stable laws which are partially known in more general situations as long as strict stability is assumed, i.e. if the shift terms \(b_p\) vanish. Section 4 is concerned in particular with geometric stable laws, i.e. with scalar normalisations \(A_n =a_n I\), and their marginals and densities; in particular laws with Linnik and Laplace marginals. These distributions turn out to have interesting applications in mathematical finance. The proofs of the main results and some auxiliary results are found in an Appendix.

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