On directional convolution equivalent densities

DOI10.1214/22-EJP790MaRDI QIDQ2144337zbMATH OpenOpenAlexFDO

Authors Kamil Kaleta, Daniel Ponikowski

Publication date 13 June 2022

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.06336

zbMATH Keywords

coneexponential decayspatial asymptoticsrandom sumsubexponential distributioninfinitely divisible distributionmultivariate densitycompound Poisson measureisotropic unimodal distributionalmost radial decreasing functionLévy process

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sums of independent random variables; random walks (60G50) Functions of several variables (26B99)

Abstract: We propose a definition of directional multivariate subexponential and convolution equivalent densities and find a useful characterization of these notions for a class of integrable and almost radial decreasing functions. We apply this result to show that the density of the absolutely continuous part of the compound Poisson measure built on a given density $f$ is directionally convolution equivalent and inherits its asymptotic behaviour from $f$ if and only if $f$ is directionally convolution equivalent. We also extend this characterization to the densities of more general infinitely divisible distributions on $mathbb{R}^d$, $dgeq1$, which are not pure compound Poisson.

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Cited in

(4)

• Level of distribution of unbalanced convolutions
• Liouville's theorems for Lévy operators
• Decay of resolvent kernels and Schrödinger eigenstates for Lévy operators
• Exponential densities and compound Poisson measures

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