Independent marginals of infinitely divisible and operator semi-stable measures

Andrzej Luczak

Journal of Multivariate Analysis, 1989, vol. 28, issue 1, 9-19

Abstract: Let [mu] be an infinitely divisible measure on a finite dimensional vector space. The problem of the existence and the uniqueness of independent martingals for [mu] is studied. A more detailed description is given for operator semi-stable measures. The results obtained generalize those proved for operator-stable measures by W. N. Hudson, J. D. Mason, and H. G. Tucker 1981, Z. Wahrsch. Verw. Gebiete58 285-297 and J. A. Veeh 1982, Z. Wahrsch. Verw. Gebiete61 303-308.

Keywords: marginals; of; a; probability; measure; infinitely; divisible; measures; operator; semi-stable; measures (search for similar items in EconPapers)
Date: 1989
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