A characterization of subclasses of semi-selfdecomposable distributions by stochastic integral representations

DOI10.1016/j.spl.2006.12.004zbMath1119.60010OpenAlexW2079428481MaRDI QIDQ997260

Manabu Miura, Makoto Maejima

Publication date: 23 July 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.12.004

zbMATH Keywords

Lévy processstochastic integralsemi-Lévy processselfdecomposable distributionsemi-selfdecomposable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stochastic integrals (60H05)

Related Items (1)

Nested classes of \(C\)-semi-selfdecomposable distributions

Cites Work

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• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Semi-selfsimilar processes
• Stochastic integrals in additive processes and application to semi-Lévy processes
• Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlen\-beck type processes
• THE CLASS OF TYPE G DISTRIBUTIONS ON Rd AND RELATED SUBCLASSES OF INFINITELY DIVISIBLE DISTRIBUTIONS
• An integral representation for selfdecomposable banach space valued random variables

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