Random integral representations for free-infinitely divisible and tempered stable distributions

DOI10.1016/J.SPL.2006.08.009zbMATH Open1112.60007arXiv1206.3044OpenAlexW1979969708MaRDI QIDQ876986FDOQ876986

Zbigniew J. Jurek

Publication date: 19 April 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: There are given sufficient conditions under which mixtures of dilations of L'evy spectral measures, on a Hilbert space, are L'evy measures again. We introduce some random integrals with respect to infinite dimensional L'evy processes, which in turn give some integral mappings. New classes (convolution semigroups) are introduced. One of them gives an unexpected relation between the free (Voiculescu) and the classical L'evy-Khintchine formulae while the second one coincides with tempered stable measures (Mantegna nad Stanley) arisen in statistical physics.}

Full work available at URL: https://arxiv.org/abs/1206.3044

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process][https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy-Khintchine+formula&go=Go L��vy-Khintchine formula]stable measures\(\lambda\)-mixturesfree-infinite divisibilityHilbert and Banach spacesinfinite divisible measure[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+spectral+measure&go=Go L��vy spectral measure]tempered stable measures

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Probability theory on linear topological spaces (60B11) Free probability and free operator algebras (46L54)

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Cited In (11)

• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Title not available (Why is that?)
• Remarks on restricted Nevanlinna transforms
• Random integral representations for classes of limit distributions similar to Lévy class \(L_ 0\)
• On a method of introducing free-infinitely divisible probability measures
• The random integral representation conjecture: a quarter of a century later
• Remarks on compositions of some random integral mappings
• Nonlinear free L\'evy--Khinchine formula and conformal mapping
• Title not available (Why is that?)
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Inversions of Lévy measures and the relation between long and short time behavior of Lévy processes

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