On multivariate quasi-infinitely divisible distributions

DOI10.1007/978-3-030-83309-1_6MaRDI QIDQ2080145zbMATH OpenOpenAlexFDO

Authors David Berger, Merve Kutlu, Alexander Lindner

Publication date 7 October 2022

Full work available at URL https://arxiv.org/abs/2101.02544

infinitely divisible distribution quasi-infinitely divisible distribution signed Lévy measure

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Abstract: A quasi-infinitely divisible distribution on

m a t h b b R^{d}

is a probability distribution

m u

on

m a t h b b R^{d}

whose characteristic function can be written as the quotient of the characteristic functions of two infinitely divisible distributions on

m a t h b b R^{d}

. Equivalently, it can be characterised as a probability distribution whose characteristic function has a L'evy--Khintchine type representation with a "signed L'evy measure", a so called quasi--L'evy measure, rather than a L'evy measure. A systematic study of such distributions in the univariate case has been carried out in Lindner, Pan and Sato cite{lindner}. The goal of the present paper is to collect some known results on multivariate quasi-infinitely divisible distributions and to extend some of the univariate results to the multivariate setting. In particular, conditions for weak convergence, moment and support properties are considered. A special emphasis is put on examples of such distributions and in particular on

m a t h b b Z^{d}

-valued quasi-infinitely divisible distributions.

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