A random integral calculus on generalized s-selfdecomposable probability measures

DOI10.1007/S13171-013-0038-8MaRDI QIDQ2257016zbMATH OpenOpenAlexFDO

Authors Zbigniew J. Jurek

Publication date 23 February 2015

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.0131

zbMATH Keywords

Banach spacesgeneralized \(s\)-selfdecomposable distributionsinfinite divisibilityLévy processLévy-Khintchine formularandom integralsuniform distributions

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Probability theory on linear topological spaces (60B11) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic analysis (60H99)

Abstract: It is known that the class $$, of generalized s-selfdecom-posable probability distributions, can be viewed as an image via random integral mapping $$ of the class $ID$ of all infinitely divisible measures. We prove that a composition of the mappings $$ is again random integral mapping but with a new inner time. In a proof some form of Lagrange interpolation formula is needed. Moreover, some elementary formulas concerning the distributions of products of powers of independent uniformly distributed random variables as established as well.

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Cites work

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Cited in

(9)

• Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes
• Factorization property of generalized s-selfdecomposable measures and class L^f distributions
• Integral part models in information systems and educational processes
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• The random integral representation hypothesis revisited : new classes of s-selfdecomposable laws
• scientific article; zbMATH DE number 3996739 (Why is no real title available?)
• scientific article; zbMATH DE number 1409900 (Why is no real title available?)
• Multivariate stochastic integrals with respect to independently scattered random measures on $\delta$-rings
• Some definite integrals arising from selfdecomposable characteristic functions

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