Subexponential densities of infinitely divisible distributions on the half-line

DOI10.1007/S10986-020-09495-5zbMATH Open1468.60024arXiv1912.08366OpenAlexW3085066608MaRDI QIDQ831328FDOQ831328

Authors: Toshiro Watanabe 

Publication date: 11 May 2021

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: We show that, under the long-tailedness of the densities of normalized L'evy measures, the densities of infinitely divisible distributions on the half line are subexponential if and only if the densities of their normalized L'evy measures are subexponential. Moreover, we prove that, under a certain continuity assumption, the densities of infinitely divisible distributions on the half line are subexponential if and only if their normalized L'evy measures are locally subexponential.

Full work available at URL: https://arxiv.org/abs/1912.08366

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zbMATH Keywords

infinite divisibility[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+measure&go=Go L��vy measure]local subexponentialitysubexponential density

Mathematics Subject Classification ID

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

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Cited In (12)

• Subexponential densities of compound Poisson sums and the supremum of a random walk
• Infinite divisibility and generalized subexponentiality
• SECOND ORDER SUBEXPONENTIALITY AND INFINITE DIVISIBILITY
• Local subexponentiality of infinitely divisibile distributions
• Subexponentialiy of densities of infinitely divisible distributions
• Second-order behaviour for self-decomposable distributions with two-sided regularly varying densities
• Local subexponentiality and self-decomposability
• On directional convolution equivalent densities
• Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues
• On the Lévy measure of the lognormal and the logCauchy distributions
• A note on product-convolution for generalized subexponential distributions
• Exponential densities and compound Poisson measures

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