Shot Noise Distributions and Selfdecomposability

DOI10.1081/SAP-120020428MaRDI QIDQ4804872zbMATH OpenFDO

Authors Zbigniew J. Jurek, Alexander Iksanov

Publication date 28 April 2003

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0111069

zbMATH Keywords

regular variationsubordinationrandom integral representationshot noise processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05) General theory of stochastic processes (60G07)

Abstract: Stationary (limiting) distributions of shot noise processes, with exponential response functions, form a large subclass of positive selfdecomposable distributions that we illustrate by many examples. These shot noise distributions are described among selfdecomposable ones via the regular variation at zero of their distribution functions. However, slow variation at the origin of (an absolutely continuous) distribution function is incompatible with selfdecomposability and this is shown in three examples.

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Cited in

(14)

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• scientific article; zbMATH DE number 4066049 (Why is no real title available?)
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