Kendall random walks

DOI10.48550/ARXIV.1412.0220zbMath1343.60052arXiv1412.0220MaRDI QIDQ149272

Barbara H. Jasiulis-Gołdyn, Barbara H. Jasiulis-Gołdyn

Publication date: 30 November 2014

Full work available at URL: https://arxiv.org/abs/1412.0220

zbMATH Keywords

Markov processrandom walkPareto distributiongeneralized convolutionweakly stable distributionKendall convolutionWilliamson transform

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Convolution as an integral transform (44A35) Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05)

Related Items (9)

Renewal theory for extremal Markov sequences of Kendall type ⋮ Cramér-Lundberg model for some classes of extremal Markov sequences ⋮ Asymptotic properties of extremal Markov processes driven by Kendall convolution ⋮ How exceptional is the extremal Kendall and Kendall-type convolution ⋮ On weak generalized stability of random variables via functional equations ⋮ Lévy process with substable increments via generalized convolution ⋮ Kendall random walk, Williamson transform, and the corresponding Wiener-Hopf factorization ⋮ Generalized convolutions and the Levi-Civita functional equation ⋮ kendallRandomWalks

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