A class of scale mixtures of Gamma(k)-distributions that are generalized gamma convolutions

DOI10.3150/15-BEJ761zbMATH Open1372.60014arXiv1507.04017MaRDI QIDQ502906FDOQ502906

Authors: Anita Behme, Lennart Bondesson 

Publication date: 11 January 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let $k>0$ be an integer and $Y$ a standard Gamma$(k)$ distributed random variable. Let $X$ be an independent positive random variable with a density that is hyperbolically monotone (HM) of order $k.$ Then $YcdotX$ and $Y/X$ both have distributions that are generalized gamma convolutions (GGCs). This result extends a result of Roynette et al. from 2009 who treated the case $k=1$ but without use of the HM-concept. Applications in excursion theory of diffusions and in the theory of exponential functionals of L'evy processes are mentioned.

Full work available at URL: https://arxiv.org/abs/1507.04017

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]gamma distributionexponential functionalgeneralized gamma convolutionhyperbolic monotonicity

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51)

Cited In (9)

• A remarkable property of generalized gamma convolutions
• Expansion of scale mixtures of the gamma distribution
• Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
• Stieltjes functions of finite order and hyperbolic monotonicity
• On univariate and bivariate generalized gamma convolutions
• On Mixtures of Gamma distributions, distributions with hyperbolically monotone densities and Generalized Gamma Convolutions (GGC)
• On mixtures of the normal distribution by the generalized gamma convolutions
• On generalized gamma convolution distributions
• Generalized gamma convolutions and complete monotonicity

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