Stochastic integral and series representations for strictly stable distributions

DOI10.1007/S10959-013-0518-8zbMATH Open1328.60044arXiv1304.1580OpenAlexW2019028769MaRDI QIDQ895900FDOQ895900

Authors: M. Maejima, Jan Rosiński, Yohei Ueda 

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1304.1580

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zbMATH Keywords

stochastic integral representationseries representationstrictly stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stochastic integrals (60H05)

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