Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities

DOI10.1007/s10959-010-0313-8zbMath1237.60016arXiv1009.1543OpenAlexW2053372166MaRDI QIDQ2428531

Albert Ferreiro-Castilla, Frederic Utzet

Publication date: 26 April 2012

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

Full work available at URL: https://arxiv.org/abs/1009.1543

zbMATH Keywords

Characteristic functionEntire functionsInfinite convolutions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50)

Related Items

Almost sure limit behaviour of Pfeifer record values

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Zeros of Airy function and relaxation process
• Generalized gamma convolutions and related classes of distributions and densities
• Some probabilistic properties of Bessel functions
• On the density of log-spot in the Heston volatility model
• Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excursions
• Gaussian Hilbert Spaces
• Infinitely Divisible Laws Associated with Hyperbolic Functions
• On the Differentiation of Infinite Convolutions
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path