Polar Decomposition of Scale-Homogeneous Measures with Application to Lévy Measures of Strictly Stable Laws

Steven N. Evans () and Ilya Molchanov ()
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Steven N. Evans: University of California
Ilya Molchanov: University of Bern

Journal of Theoretical Probability, 2018, vol. 31, issue 3, 1303-1321

Abstract: Abstract A scaling on some space is a measurable action of the group of positive real numbers. A measure on a measurable space equipped with a scaling is said to be $$\alpha $$ α -homogeneous for some nonzero real number $$\alpha $$ α if the mass of any measurable set scaled by any factor $$t > 0$$ t > 0 is the multiple $$t^{-\alpha }$$ t - α of the set’s original mass. It is shown rather generally that given an $$\alpha $$ α -homogeneous measure on a measurable space there is a measurable bijection between the space and the Cartesian product of a subset of the space and the positive real numbers (that is, a “system of polar coordinates”) such that the push-forward of the $$\alpha $$ α -homogeneous measure by this bijection is the product of a probability measure on the first component (that is, on the “angular” component) and an $$\alpha $$ α -homogeneous measure on the positive half line (that is, on the “radial” component). This result is applied to the intensity measures of Poisson processes that arise in Lévy-Khinchin-Itô-like representations of infinitely divisible random elements. It is established that if a strictly stable random element in a convex cone admits a series representation as the sum of points of a Poisson process, then it necessarily has a LePage representation as the sum of i.i.d. random elements of the cone scaled by the successive points of an independent unit-intensity Poisson process on the positive half line each raised to the power $$-\frac{1}{\alpha }$$ - 1 α .

Keywords: Disintegration; Infinite divisibility; LePage representation; 28A50; 28C10; 60B15; 60E07 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10959-017-0762-4

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