Stochastic integral and series representations for strictly stable distributions
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Abstract: In this paper we find and develop a stochastic integral representation for the class of strictly stable distributions. We establish an explicit relationship between stochastic integral and shot-noise series representations of strictly stable distributions, which shows that the class of distributions representable by stochastic integral is larger than the class representable by a shot-noise series. This inclusion is proper when the stability index is greater than 1. We also give an explicit description of distributions possessing both representations.
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Cited in
(8)- scientific article; zbMATH DE number 1086075 (Why is no real title available?)
- Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
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- Series Representation of Time-Stable Stochastic Processes
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