On the self-decomposability of Euler's Gamma function

DOI10.1023/A:1026141402811zbMath1086.33002OpenAlexW135555447MaRDI QIDQ1881806

Bronius Grigelionis

Publication date: 15 October 2004

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1026141402811

zbMATH Keywords

self-similarityLévy processgamma distributionGumbel distributionEuler's gamma functionself-decomposabilityEsscher transformOrnstein-Uhlenbeck-type processmixed exponential process

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Gamma, beta and polygamma functions (33B15)

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Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes ⋮ Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives ⋮ On the distribution of sample mean in finite populations. I ⋮ Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution ⋮ Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions. ⋮ Multifractality of products of geometric Ornstein-Uhlenbeck-type processes ⋮ On the Laws of First Hitting Times of Points for One-Dimensional Symmetric Stable Lévy Processes

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