Classes of infinitely divisible distributions on R^d related to the class of selfdecomposable distributions

DOI10.3836/TJM/1296483482zbMATH Open1213.60037arXiv0909.1409OpenAlexW2014380208MaRDI QIDQ632494FDOQ632494

Authors: M. Maejima, Muneya Matsui, Mayo Suzuki 

Publication date: 25 March 2011

Published in: Tokyo Journal of Mathematics (Search for Journal in Brave)

Abstract: This paper studies new classes of infinitely divisible distributions on R^d. Firstly, the connecting classes with a continuous parameter between the Jurek class and the class of selfdecomposable distributions are revisited. Secondly, the range of the parameter is extended to construct new classes and characterizations in terms of stochastic integrals with respect to Levy processes are given. Finally, the nested subclasses of those classes are discussed and characterized in two ways: One is by stochastic integral representations and another is in terms of Levy measures.

Full work available at URL: https://arxiv.org/abs/0909.1409

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zbMATH Keywords

infinitely divisible distributionsselfdecomposable distributionsJurek classLévy measures

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Cites Work

• Tempering stable processes
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• Additive processes and stochastic integrals
• Two families of improper stochastic integrals with respect to Lévy processes
• Infinitely divisible distributions similar to class L distributions

Cited In (20)

• A note on new classes of infinitely divisible distributions on \(\mathbb{R}^{d}\)
• Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions
• A class of multivariate infinitely divisible distributions related to arcsine density
• Fractional integrals and extensions of selfdecomposability
• Title not available (Why is that?)
• Title not available (Why is that?)
• Classes of infinitely divisible distributions and examples
• Semi-self-decomposable distributions on \(\mathbb Z_{+}\)
• A note on a bivariate gamma distribution
• Title not available (Why is that?)
• Title not available (Why is that?)
• The class of type G distributions on \(\mathbb{R}^d\) and related subclasses of infinitely divisible distributions
• A subclass of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Fixed points of mappings of infinitely divisible distributions on
• Three classes of decomposable distributions
• Moment properties of multivariate infinitely divisible laws and criteria for multivariate self-decomposability
• Some multivariate infinitely divisible distributions and their projections
• \(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes
• Inversions of infinitely divisible distributions and conjugates of stochastic integral mappings
• The limits of nested subclasses of several classes of infinitely divisible distributions are identical with the closure of the class of stable distributions

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