Polar decomposition of scale-homogeneous measures with application to Lévy measures of strictly stable laws

DOI10.1007/S10959-017-0762-4zbMATH Open1437.28005arXiv1509.09261OpenAlexW3102996821MaRDI QIDQ1800936FDOQ1800936

Authors: Steven Neil Evans, Ilya S. Molchanov 

Publication date: 26 October 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: A scaling on some space is a measurable action of the group of positive real numbers. A measure on a measurable space equipped with a scaling is said to be $alpha$-homogeneous for some nonzero real number $alpha$ if the mass of any measurable set scaled by any factor $t>0$ is the multiple $t^{-alpha}$ of the set's original mass. It is shown rather generally that given an $alpha$-homogeneous measure on a measurable space there is a measurable bijection between the space and the Cartesian product of a subset of the space and the positive real numbers (that is, a "system of polar coordinates") such that the push-forward of the $alpha$-homogeneous measure by this bijection is the product of a probability measure on the first component (that is, on the "angular" component) and an $alpha$-homogeneous measure on the positive half-line (that is, on the "radial" component). This result is applied to the intensity measures of Poisson processes that arise in L'evy-Khinchin-It^o-like representations of infinitely divisible random elements. It is established that if a strictly stable random element in a convex cone admits a series representation as the sum of points of a Poisson process, then it necessarily has a LePage representation as the sum of i.i.d. random elements of the cone scaled by the successive points of an independent unit intensity Poisson process on the positive half-line each raised to the power $-frac1alpha$.

Full work available at URL: https://arxiv.org/abs/1509.09261

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zbMATH Keywords

infinite divisibilitydisintegrationLePage representation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Set functions and measures on topological groups or semigroups, Haar measures, invariant measures (28C10) Integration and disintegration of measures (28A50)

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Cited In (4)

• Non-symmetric stable operators: regularity theory and integration by parts
• Tail measures and regular variation
• The tail process and tail measure of continuous time regularly varying stochastic processes
• Tail processes and tail measures: an approach via Palm calculus

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