[alpha]-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes

Makoto Maejima and Yohei Ueda

Stochastic Processes and their Applications, 2010, vol. 120, issue 12, 2363-2389

Abstract: The concept of selfdecomposability has been generalized to that of [alpha]-selfdecomposability, , by many authors. We first mention the existing results on the class of [alpha]-selfdecomposable distributions and investigate the remaining problems. We give complete characterizations by stochastic integrals with respect to Lévy processes for the case 1

Keywords: Infinitely; divisible; distribution; Lévy; process; Selfdecomposable; distribution; Stochastic; integral; representation; Langevin; type; equation; Ornstein-Uhlenbeck; type; process (search for similar items in EconPapers)
Date: 2010
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