A Subclass of Type G Selfdecomposable Distributions on ℝ d

Takahiro Aoyama (), Makoto Maejima () and Jan Rosiński ()
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Takahiro Aoyama: Keio University
Makoto Maejima: Keio University
Jan Rosiński: University of Tennessee

Journal of Theoretical Probability, 2008, vol. 21, issue 1, 14-34

Abstract: Abstract A new class of type G selfdecomposable distributions on ℝ d is introduced and characterized in terms of stochastic integrals with respect to Lévy processes. This class is a strict subclass of the class of type G and selfdecomposable distributions, and in dimension one, it is strictly bigger than the class of variance mixtures of normal distributions by selfdecomposable distributions. The relation to several other known classes of infinitely divisible distributions is established.

Keywords: Infinitely divisible distribution; Selfdecomposable distribution; Type G distribution; Stochastic integral with respect to Lévy process; 60E07 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10959-007-0129-3

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