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

DOI10.1016/J.SPL.2006.12.004MaRDI QIDQ997260zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic integralselfdecomposable distributionsemi-selfdecomposable distributionLévy processsemi-Lévy process

Mathematics Subject Classification ID

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

Recommendations

• Nested subclasses of some subclass of the class of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Stochastic integral characterizations of semi-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes
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• Semi-selfdecomposable distributions and a new class of limit theorems

Cites work

• scientific article; zbMATH DE number 3844768 (Why is no real title available?)
• An integral representation for selfdecomposable banach space valued random variables
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlen\-beck type processes
• Semi-selfsimilar processes
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• Stochastic integrals in additive processes and application to semi-Lévy processes
• The class of type G distributions on \(\mathbb{R}^d\) and related subclasses of infinitely divisible distributions

Cited in

(12)

• Stochastic integral characterizations of semi-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes
• Operator semi-selfdecomposability, \((C,Q)\)-decomposability and related nested classes
• Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions
• Fractional integrals and extensions of selfdecomposability
• Nested classes of \(C\)-semi-selfdecomposable distributions
• scientific article; zbMATH DE number 3197544 (Why is no real title available?)
• CHARACTERIZATIONS OF THE CLASS OF FREE SELF-DECOMPOSABLE DISTRIBUTIONS AND ITS SUBCLASSES
• SUBORDINATION, SELF-DECOMPOSABILITY AND SEMI-STABILITY
• Nested subclasses of some subclass of the class of type \(G\) selfdecomposable distributions on \(\mathbb R^d\)
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• The random integral representation hypothesis revisited : new classes of s-selfdecomposable laws
• A new factorization property of the selfdecomposable probability measures.

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