Remarks on compositions of some random integral mappings

Zbigniew J. Jurek

Statistics & Probability Letters, 2018, vol. 137, issue C, 277-282

Abstract: The random integral mappings (some type of functionals of Lévy processes) are continuous homomorphisms between convolution subsemigroups of the semigroup of all infinitely divisible measures. Compositions of those random integrals (mappings) can be always expressed as another single random integral mapping. That fact is illustrated by some old and new examples.

Keywords: Infinite divisibility; Lévy (spectral) measure; Random integrals; Tensor product; Image measures; Euclidean space (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2018.01.026

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