Nested subclasses of the class of -selfdecomposable distributions

DOI10.3836/TJM/1327931393zbMATH Open1236.60018arXiv1006.1047OpenAlexW2963737936MaRDI QIDQ410122FDOQ410122

Yohei Ueda, M. Maejima

Publication date: 3 April 2012

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

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.

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

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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)

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Cited In (9)

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• Nested subclasses of some subclass of the class of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Classes of Infinitely Divisible Distributions and Examples
• Fixed points of mappings of infinitely divisible distributions on
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• \(\alpha \)-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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