Some positive conclusions related to the Embrechts-Goldie conjecture

DOI10.1134/S0037446622010165MaRDI QIDQ2071597zbMATH OpenOpenAlexWikidataFDO

Authors Hui Xu, Zhaolei Cui, Yuebao Wang

Publication date 28 January 2022

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.00912

zbMATH Keywords

closurecompound convolution rootsdistribution class \({\mathfrak{L}}(\gamma)\cap{\mathfrak{OS}} \)Embrechts-Goldie conjectureinfinitely divisible distributionLévy distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Abstract: In this paper, we give some conditions, under which, if an infinitely divisible distribution supported on $[0,infty)$ belongs to the intersection of exponential distribution class $mathcalL(gamma)$ for some $gammage0$ and generalised subexponential distribution class $mathcalOS$, then its L$macutee$vy spectral distribution or convolution of the distribution with itself also belongs to the same one. To this end, we discuss the closure under the compound convolution roots for the class. In addition, we do some in-depth discussion about the above-mentioned conditions, and provide some types of distributions satisfying them. Further, we obtain some local versions of the above-mentioned results by the Esscher transform of distributions. Therefore, some positive conclusions related to the Embrechts-Goldie conjecture are obtained. Prior to this, all corresponding results are negative

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Cited in

(5)

• Two hypotheses on the exponential class in the class of O-subexponential infinitely divisible distributions
• Embrechts-Goldie's problem on the class of lattice convolution equivalent distributions
• On the closure under infinitely divisible distribution roots
• The Wiener condition and the conjectures of Embrechts and Goldie
• Closure under infinitely divisible distribution roots and the Embrechts-Goldie conjecture

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