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

exponential functionalgamma distributiongeneralized 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.

Review text

A generalized gamma convolution is a probability distribution on \([0, \infty)\) with Laplace transform of the form \[ \phi(s)=\exp{\left(-as+\int_{(0, \infty)}\log\left({t\over{t+s}}\right)U(dt)\right)}, \] where \(a\geq 0\), and \(U(dt)\) is a nonnegative measure on \((0, \infty)\) with finite mass for any compact subset of \((0, \infty)\) such that \(\int_{(0, 1)}|\log t|U(dt)<\infty\) and \(\int_{(1, \infty)}t^{-1}U(dt)<\infty\). The main result is the following: Theorem. Let \(k\geq 1\) be an integer. Let \(Y\) and \(X\) be independent random variables such that \(Y\) has a Gamma\((k, 1)\)-distribution and \(X\) has a hyperbolically monotone probability density function of order \(k\). Then, the distributions of \(Y \cdot X\) and \(Y/X\) are generalized gamma convolutions. Some applications to excursion theory and the theory of exponential functionals of Lévy processes are given.

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• Expansion of scale mixtures of the gamma distribution
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