Some explicit Krein representations of certain subordinators, including the gamma process
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Abstract: We give a representation of the Gamma subordinator as a Krein functional of Brownian motion, using the known representations for stable subordinators and Esscher transforms. In particular, we have obtained Krein representations of the subordinators which govern the two parameter Poisson-Dirichlet family of distributions.
The aim of the paper is to solve the Krein representation problem for the class of subordinators \((S_t^{\alpha,\beta};t\geq 0)\) whose Lévy measures are \[ \nu_{\alpha,\beta}(dy)=C\,\frac{\exp(-\beta y)}{y^{\alpha+1}}dy,\quad 0\leq \alpha<1,\quad \beta\geq 0. \] Also, \((S_t^{\alpha,\beta};t\geq 0)\) can be represented as continuous additive functionals of a Brownian motion, taken at the inverse local lime of that Brownian motion. Various examples are provided.
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(14)- On the Markov-Krein identity and quasi-invariance of the gamma process
- Extension technique for complete Bernstein functions of the Laplace operator
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- Dirichlet mean identities and laws of a class of subordinators
- Consecutive subordination of Poisson processes and gamma processes
- On the inverse gamma subordinator
- Two-dimensional delta-Bose gas: skew-product relative motions
- On planar Brownian motion singularly tilted through a point potential
- Inverse local time of one-dimensional diffusions and its comparison theorem
- Excursions of diffusion processes and continued fractions
- An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
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