A characterization of subclasses of semi-selfdecomposable distributions by stochastic integral representations

Makoto Maejima and Manabu Miura

Statistics & Probability Letters, 2007, vol. 77, issue 8, 838-842

Abstract: Characterizations of the classes of selfdecomposable (semi-selfdecomposable, resp.) by a stochastic integral with respect to Lévy process (semi-Lévy process, resp.) are known. A similar characterization for the Urbanik-Sato nested subclasses of the class of selfdecomposable distributions is also known. In this paper, a characterization of the nested subclasses of the class of semi-selfdecomposable distributions is given in terms of stochastic integral with respect to semi-Lévy process.

Keywords: Selfdecomposable; distribution; Semi-selfdecomposable; distribution; Lévy; process; Semi-Lévy; process; Stochastic; integral (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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