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

DOI10.3150/15-BEJ761MaRDI QIDQ502906zbMATH OpenFDO

Authors Anita Behme, Lennart Bondesson

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.04017, https://projecteuclid.org/euclid.bj/1475001374

zbMATH Keywords

gamma distributionexponential functionalgeneralized gamma convolutionhyperbolic monotonicityLévy process

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)

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.

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