Generalized Lévy stochastic areas and selfdecomposability

Zbigniew J. Jurek

Statistics & Probability Letters, 2003, vol. 64, issue 2, 213-222

Abstract: We show that a conditional characteristic function of generalized Lévy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., Lévy class L distribution) and its background driving characteristic function. This provides a stochastic interpretation for a ratio of some Bessel functions as well as examples of characteristic functions from van Dantzig class.

Keywords: Bessel; functions; I[nu]; and; J[nu]; Lévy's; stochastic; areas; Class; L; probability; distributions; Selfdecomposability; property; Class; distributions; s-Selfdecomposability; property; van; Dantzig; class (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(03)00153-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:64:y:2003:i:2:p:213-222

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().