A class of multivariate infinitely divisible distributions related to arcsine density

Abstract: Two transformations

m a t h c a l A_{1}

and

m a t h c a l A_{2}

of L'{e}vy measures on

m a t h b b R^{d}

based on the arcsine density are studied and their relation to general Upsilon transformations is considered. The domains of definition of

m a t h c a l A_{1}

and

m a t h c a l A_{2}

are determined and it is shown that they have the same range. The class of infinitely divisible distributions on

m a t h b b R^{d}

with L'{e}vy measures being in the common range is called the class

A

and any distribution in the class

A

is expressed as the law of a stochastic integral

i n t_{0}^{1} c o s (2^{- 1} u p p i t), m a t h r m d X_{t}

with respect to a L'{e}vy process

X_{t}

. This new class includes as a proper subclass the Jurek class of distributions. It is shown that generalized type

G

distributions are the image of distributions in the class

A

under a mapping defined by an appropriate stochastic integral.

m a t h c a l A_{2}

is identified as an Upsilon transformation, while

m a t h c a l A_{1}

is shown not to be.

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