Type G distributions on R^d
The authors present a systematic study of the class of multivariate distributions obtained by a Gaussian randomization of jumps of a Lévy process. It is shown that this class of distributions, called type \(G\) distributions, is a closed convolution semigroup of the set of symmetric infinitely divisible measures with respect to weak convergence. The Lévy measure of a type \(G\) distribution is characterized in terms of a polar decomposition and so called type \(G\) processes are introduced as those with type \(G\) finite-dimensional marginals. The authors construct an infinitely divisible distribution which is not of type \(G\), but all lower dimensional projections, especially the one-dimensional marginals, are of type \(G\). Moreover, a series representation of type \(G\) random vectors is presented.
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- A subclass of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Inversions of infinitely divisible distributions and conjugates of stochastic integral mappings
- The class of type G distributions on \(\mathbb{R}^d\) and related subclasses of infinitely divisible distributions
- Classes of infinitely divisible distributions and examples
- scientific article; zbMATH DE number 4201251 (Why is no real title available?)
- MatG Random Matrices
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- On Lévy semistationary processes with a gamma kernel
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- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Multivariate COGARCH(1, 1) processes
- Characterizations of subclasses of type \(G\) distributions on \(\mathbb R^d\) by stochastic integral representa\-tions
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