Calculus on random integral mappings I^{h,r}_{(a,b]} and their domains
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Publication:6236565
arXiv1210.5990MaRDI QIDQ6236565FDOQ6236565
Authors: Zbigniew J. Jurek 
Publication date: 22 October 2012
Abstract: It is proved that the random integral mappings (some type of functionals of L'evy processes) are always isomorphisms between convolution semigroups of infinitely divisible measures. However, the inverse mappings are no longer of the random integral form. Domains are characterized in may ways. Compositions (iterated integrals) can be expressed as a single random integral mapping. Finally, all obtained results are illustrated by examples.
Convergence of probability measures (60B10) Infinitely divisible distributions; stable distributions (60E07) Probability theory on linear topological spaces (60B11) Stochastic integrals (60H05) General integral transforms (44A05)
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