Subordination and self-decomposability

Ken-iti Sato

Statistics & Probability Letters, 2001, vol. 54, issue 3, 317-324

Abstract: Two facts are established concerning subordination and self-decomposability. (1) Any subordinated process arising from a Brownian motion with drift and a self-decomposable subordinator is self-decomposable. (2) Self-decomposable distributions of type G are not necessarily of type GL. Consequences of the first fact on smoothness of the distributions are discussed.

Keywords: Self-decomposable; distribution; Subordination; Self-decomposable; subordinator; Brownian; motion; with; drift; Distribution; of; type; G (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (30)

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