Dirichlet mean identities and laws of a class of subordinators

DOI10.3150/09-BEJ224zbMath1248.60055arXiv1010.1639MaRDI QIDQ453266

Lancelot F. James

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.1639

zbMATH Keywords

Lévy processesexponential tiltinggeneralized gamma convolutionsbeta-gamma algebraDirichlet means and processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian problems; characterization of Bayes procedures (62C10) Random measures (60G57)

Related Items (5)

A Simple Stochastic Rate Model for Rate Equity Hybrid Products ⋮ Quantile clocks ⋮ A revisit of the distribution of linear combinations of Dirichlet components ⋮ Lamperti-type laws ⋮ On simulation and properties of the stable law

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