Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions

DOI10.3150/11-BEJ382zbMath1260.60090arXiv1211.5281MaRDI QIDQ1932223

Makoto Maejima, Muneya Matsui, Anita Behme, Noriyoshi Sakuma

Publication date: 17 January 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.5281

zbMATH Keywords

exponential integralLévy processgeneralized gamma convolutionsselfdecomposable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Related Items (3)

A class of probability distributions that is closed with respect to addition as well as multiplication of independent random variables ⋮ On exponential functionals of Lévy processes ⋮ Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model

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