Shot Noise Distributions and Selfdecomposability

DOI10.1081/SAP-120020428zbMATH Open1042.60026arXivmath/0111069MaRDI QIDQ4804872FDOQ4804872

Authors: Zbigniew J. Jurek, Alexander Iksanov 

Publication date: 28 April 2003

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

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.

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

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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)

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Cited In (14)

• Shot noise perturbations and mean first passage times between stable states
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• On the Markov model of shot noise
• Renormalization group of and convergence to the LISDLG process
• Title not available (Why is that?)
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• Title not available (Why is that?)
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