Nested subclasses of the class of -selfdecomposable distributions

DOI10.3836/TJM/1327931393MaRDI QIDQ410122zbMATH OpenOpenAlexFDO

Authors M. Maejima, Yohei Ueda

Publication date 3 April 2012

Published in Tokyo Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.1047

zbMATH Keywords

limit theoremsinfinitely divisible distributionconcept of \(\alpha\)-selfdecomposability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05)

Abstract: A probability distribution $mu$ on $mathbb{R}^d$ is selfdecomposable if its characteristic function $widehatmu(z),zinmathbb{R}^d$, satisfies that for any $b>1$, there exists an infinitely divisible distribution $h{o}_b$ satisfying $widehatmu(z)=widehatmu(b^{-1}z)widehath{o}_b(z)$. This concept has been generalized to the concept of $alpha$-selfdecomposability by many authors in the following way. Let $alphainmathbbR$. An infinitely divisible distribution $mu$ on $mathbb{R}^d$ is $alpha$-selfdecomposable, if for any $b>1$, there exists an infinitely divisible distribution $h{o}_b$ satisfying $widehatmu(z)=widehatmu(b^{-1}z{)}^{b^{alpha}}widehath{o}_b(z)$. By denoting the class of all $alpha$-selfdecomposable distributions on $mathbb{R}^d$ by $L^{leftanglealphaightangle}(mathbb{R}^d)$, we define in this paper a sequence of nested subclasses of $L^{leftanglealphaightangle}(mathbb{R}^d)$, and investigate several properties of them by two ways. One is by using limit theorems and the other is by using mappings of infinitely divisible distributions.

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Cited in

(10)

• Classes of infinitely divisible distributions on R^d related to the class of selfdecomposable distributions
• Classes of infinitely divisible distributions and examples
• Stochastic integral and series representations for strictly stable distributions
• Nested subclasses of some subclass of the class of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Fixed points of mappings of infinitely divisible distributions on
• Examples of \(\alpha\)-selfdecomposable distributions
• Nested classes of \(C\)-decomposable laws
• \(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes
• CHARACTERIZATIONS OF THE CLASS OF FREE SELF-DECOMPOSABLE DISTRIBUTIONS AND ITS SUBCLASSES
• Inversions of infinitely divisible distributions and conjugates of stochastic integral mappings

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