Transformations of infinitely divisible distributions via improper stochastic integrals

MaRDI QIDQ5422648zbMATH OpenFDO

Authors Ken-Iti Sato

Publication date 29 October 2007

Full work available at URL https://arxiv.org/abs/0707.0538

zbMATH Keywords

improper stochastic integralindependently scattered random measureinfinitely divisible distributionLévy measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Abstract: Let $X^{(mu)}(ds)$ be an $mathbb{R}^d$-valued homogeneous independently scattered random measure over $mathbbR$ having $mu$ as the distribution of $X^{(mu)}((t,t+1])$. Let $f(s)$ be a nonrandom measurable function on an open interval $(a,b)$ where $-inftyleqslanta<bleqslantinfty$. The improper stochastic integral $in{t}_{a+}^{b-}f(s)X^{(mu)}(ds)$ is studied. Its distribution $Ph{i}_f(mu)$ defines a mapping from $mu$ to an infinitely divisible distribution on $mathbb{R}^d$. Three modifications (compensated, essential, and symmetrized) and absolute definability are considered. After their domains are characterized, necessary and sufficient conditions for the domains to be very large (or very small) in various senses are given. The concept of the dual in the class of purely non-Gaussian infinitely divisible distributions on $mathbb{R}^d$ is introduced and employed in studying some examples. The $au$-measure $au$ of function $f$ is introduced and whether $au$ determines $Ph{i}_f$ is discussed. Related transformations of L'evy measures are also studied.

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