A characterization of subclasses of semi-selfdecomposable distributions by stochastic integral representations

DOI10.1016/J.SPL.2006.12.004zbMATH Open1119.60010OpenAlexW2079428481MaRDI QIDQ997260FDOQ997260

Authors: M. Maejima, Manabu Miura 

Publication date: 23 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.spl.2006.12.004

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zbMATH Keywords

stochastic integralselfdecomposable distributionsemi-selfdecomposable distributionLévy processsemi-Lévy process

Mathematics Subject Classification ID

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

Cites Work

• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• An integral representation for selfdecomposable banach space valued random variables
• Semi-selfsimilar processes
• Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlen\-beck type processes
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Stochastic integrals in additive processes and application to semi-Lévy processes
• Title not available (Why is that?)
• The class of type G distributions on \(\mathbb{R}^d\) and related subclasses of infinitely divisible distributions

Cited In (11)

• SUBORDINATION, SELF-DECOMPOSABILITY AND SEMI-STABILITY
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions
• Fractional integrals and extensions of selfdecomposability
• Nested classes of \(C\)-semi-selfdecomposable distributions
• A new factorization property of the selfdecomposable probability measures.
• Nested subclasses of some subclass of the class of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Operator semi-selfdecomposability, \((C,Q)\)-decomposability and related nested classes
• Title not available (Why is that?)
• CHARACTERIZATIONS OF THE CLASS OF FREE SELF-DECOMPOSABLE DISTRIBUTIONS AND ITS SUBCLASSES
• The random integral representation hypothesis revisited : new classes of s-selfdecomposable laws

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