Lamperti-type laws

DOI10.1214/09-AAP660zbMATH Open1204.60024arXiv0708.0618MaRDI QIDQ990380FDOQ990380

Authors: Lancelot F. James 

Publication date: 1 September 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: This paper explores various distributional aspects of random variables defined as the ratio of two independent positive random variables where one variable has an $alpha$-stable law, for $0<alpha<1$, and the other variable has the law defined by polynomially tilting the density of an $alpha$-stable random variable by a factor $heta>-alpha$. When $heta=0$, these variables equate with the ratio investigated by Lamperti [Trans. Amer. Math. Soc. 88 (1958) 380--387] which, remarkably, was shown to have a simple density. This variable arises in a variety of areas and gains importance from a close connection to the stable laws. This rationale, and connection to the $operatornamePD(alpha,heta)$ distribution, motivates the investigations of its generalizations which we refer to as Lamperti-type laws. We identify and exploit links to random variables that commonly appear in a variety of applications. Namely Linnik, generalized Pareto and $z$-distributions. In each case we obtain new results that are of potential interest. As some highlights, we then use these results to (i) obtain integral representations and other identities for a class of generalized Mittag--Leffler functions, (ii) identify explicitly the L'{e}vy density of the semigroup of stable continuous state branching processes (CSBP) and hence corresponding limiting distributions derived in Slack and in Zolotarev [Z. Wahrsch. Verw. Gebiete 9 (1968) 139--145, Teor. Veroyatn. Primen. 2 (1957) 256--266], which are related to the recent work by Berestycki, Berestycki and Schweinsberg, and Bertoin and LeGall [Ann. Inst. H. Poincar'{e} Probab. Statist. 44 (2008) 214--238, Illinois J. Math. 50 (2006) 147--181] on beta coalescents. (iii) We obtain explicit results for the occupation time of generalized Bessel bridges and some interesting stochastic equations for $operatornamePD(alpha,heta)$-bridges. In particular we obtain the best known results for the density of the time spent positive of a Bessel bridge of dimension $2-2alpha$.

Full work available at URL: https://arxiv.org/abs/0708.0618

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zbMATH Keywords

Mittag-Leffler functionBessel bridgesPoisson-Dirichlet distributionsGalton Watson limitshyperbolic characteristic functionstable continuous state branching processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stable stochastic processes (60G52) Exchangeability for stochastic processes (60G09)

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