Remarks on the factorization property of some random integrals

Zbigniew J. Jurek

Statistics & Probability Letters, 2014, vol. 94, issue C, 192-195

Abstract: Two families of improper random integrals and the two corresponding convolution semigroups of infinitely divisible laws are studied. A relation (a factorization property) between those random integrals is established. For the proof we use the method of the random integral mappingsI(a,b]h,r that is also valid for infinitely divisible measures on Banach spaces. Furthermore, using that technique we established new relations between those two families of random integrals.

Keywords: Lévy process; Infinite divisibility; Random integral; Tensor product; Image measures; Product measures (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2014.07.021

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