Classes of infinitely divisible distributions and examples

DOI10.1007/978-3-319-23138-9_1MaRDI QIDQ2807247zbMATH OpenOpenAlexFDO

Authors M. Maejima

Publication date 19 May 2016

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-23138-9_1

zbMATH Keywords

stable distributioninfinitely divisible distributiongeneralized gamma convolutionmixture of exponential distributionsselfdecomposable distributionnested subclassesLévy measurestochastic integral with respect to Lévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Recommendations

• A note on new classes of infinitely divisible distributions on \(\mathbb{R}^{d}\)
• Classes of infinitely divisible distributions on R^d related to the class of selfdecomposable distributions
• A contemporary review and bibliography of infinitely divisible distributions and processes
• On certain classes of distributions
• On subclasses of infinitely divisible distributions on R related to hitting time distributions of 1-dimensional generalized diffusion processes

Cites work

• scientific article; zbMATH DE number 5842856 (Why is no real title available?)
• scientific article; zbMATH DE number 434655 (Why is no real title available?)
• scientific article; zbMATH DE number 3839016 (Why is no real title available?)
• scientific article; zbMATH DE number 3844768 (Why is no real title available?)
• scientific article; zbMATH DE number 4201251 (Why is no real title available?)
• scientific article; zbMATH DE number 5509954 (Why is no real title available?)
• scientific article; zbMATH DE number 3911363 (Why is no real title available?)
• scientific article; zbMATH DE number 3736686 (Why is no real title available?)
• scientific article; zbMATH DE number 3474677 (Why is no real title available?)
• scientific article; zbMATH DE number 3558654 (Why is no real title available?)
• scientific article; zbMATH DE number 2031102 (Why is no real title available?)
• scientific article; zbMATH DE number 1775605 (Why is no real title available?)
• scientific article; zbMATH DE number 6154570 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5166032 (Why is no real title available?)
• scientific article; zbMATH DE number 5205670 (Why is no real title available?)
• scientific article; zbMATH DE number 3302961 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A CONNECTION BETWEEN FREE AND CLASSICAL INFINITE DIVISIBILITY
• A class of multivariate infinitely divisible distributions related to arcsine density
• A new factorization property of the selfdecomposable probability measures.
• A new family of mappings of infinitely divisible distributions related to the Goldie-Steutel-Bondesson class
• A note on a bivariate gamma distribution
• A note on new classes of infinitely divisible distributions on \(\mathbb{R}^{d}\)
• A subclass of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• An alternative approach to multiply self-decomposable probability measures on Banach spaces
• An integral representation for selfdecomposable banach space valued random variables
• Analysis of the rosenblatt process
• Bernstein functions. Theory and applications
• Characterizations of subclasses of type \(G\) distributions on \(\mathbb R^d\) by stochastic integral representa\-tions
• Class L of multivariate distributions and its subclasses
• Classes of infinitely divisible distributions on \(\mathbb R^d\) related to the class of selfdecomposable distributions
• Compositions of mappings of infinitely divisible distributions with applications to finding the limits of some nested subclasses
• Description of limits of ranges of iterations of stochastic integral mappings of infinitely divisible distributions
• Distributions of selfsimilar and semi-selfsimilar processes with independent increments
• Examples of \(\alpha\)-selfdecomposable distributions
• Fixed points of mappings of infinitely divisible distributions on
• Fourier transforms of measures from the classes \({\mathcal U}_ \beta{},\;-2 < \beta{}\leq{}-1\)
• Fractional integrals and extensions of selfdecomposability
• Generalized gamma convolutions and related classes of distributions and densities
• Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
• Infinite divisibility of interpolated gamma powers
• Infinitely divisible distributions similar to class L distributions
• Infinitely divisible distributions with unimodal Levy spectral functions
• Lévy laws in free probability
• Lévy measure density corresponding to inverse local time
• Lévy processes in free probability
• Monotonicity and non-monotonicity of domains of stochastic integral operators
• Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions
• Non-central limit theorems for non-linear functional of Gaussian fields
• Normal Variance-Mean Mixtures and z Distributions
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Note on the Infinite Divisibility of Exponential Mixtures
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• On certain self-decomposable distributions
• On certain self-decomposable self-similar processes with independent increments
• On continuity properties of the law of integrals of Lévy processes
• On the distribution of the Rosenblatt process
• On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
• On the infinite divisbility of the Pareto distribution
• On the infinite divisibility of the lognormal distribution
• On the self-decomposability of the Fréchet distribution
• Pricing options on realized variance
• Proof of a conjecture of L. Bondesson concerning infinite divisibility of powers of a gamma variable
• Properties and numerical evaluation of the Rosenblatt distribution
• Random integral representations for classes of limit distributions similar to Lévy class L₀, II
• Random integral representations for classes of limit distributions similar to Lévy class \(L_ 0\)
• Regularization and integral representations of Hermite processes
• Regularizing mappings of Lévy measures
• Relations between the \(\epsilon\)-selfdecomposable and selfdecomposable measures
• Self-similar processes with independent increments
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• Some classes of limit laws containing the stable distributions
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Some properties of exponential integrals of Levy processes and examples
• Special Functions, Stieltjes Transforms and Infinite Divisibility
• Stochastic integral and series representations for strictly stable distributions
• Stochastic integral characterizations of semi-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes
• Tempering stable processes
• The class of type G distributions on \(\mathbb{R}^d\) and related subclasses of infinitely divisible distributions
• The limits of nested subclasses of several classes of infinitely divisible distributions are identical with the closure of the class of stable distributions
• The random integral representation conjecture: a quarter of a century later
• The random integral representation hypothesis revisited : new classes of s-selfdecomposable laws
• The sector constants of continuous state branching processes with immigration
• Transformations of infinitely divisible distributions via improper stochastic integrals
• Two families of improper stochastic integrals with respect to Lévy processes
• Type \(G\) distributions on \({\mathbb R}^d\)
• Unimodality of infinitely divisible distribution functions of class L
• Unimodality of the Levy spectral function
• Variance-GGC asset price models and their sensitivity analysis
• Variations and estimators for self-similarity parameters via Malliavin calculus
• \(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes

Cited in

(1)

• Random matrix models for datasets with fixed time horizons

This page was built for publication: Classes of infinitely divisible distributions and examples

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2807247)