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  • Search: subject:"Random integral representation"
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Class L distributions or selfdecomposable distributions 1 Class U distributions or generalized s-selfdecomposable distributions 1 Infinite divisibility Random integral representation 1 Lévy process 1 Moving average fractional Lévy process 1 Random integral representation 1
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Undetermined 2
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Article 2
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Undetermined 2
Author
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Barndorff-Nielsen, Ole E. 1 Jurek, Zbigniew J. 1 Maejima, Makoto 1
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Statistics & Probability Letters 1 Stochastic Processes and their Applications 1
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RePEc 2
Showing 1 - 2 of 2
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Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes
Jurek, Zbigniew J. - In: Statistics & Probability Letters 83 (2013) 1, pp. 177-183
It is shown that some convolution semigroups of infinitely divisible measures are invariant under certain random integral mappings. We characterize the coincidence of random integrals for s-selfdecomposable and selfdecomposable distributions. Some applications are given to the moving average...
Persistent link: https://www.econbiz.de/10010593926
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Semigroups of Upsilon transformations
Barndorff-Nielsen, Ole E.; Maejima, Makoto - In: Stochastic Processes and their Applications 118 (2008) 12, pp. 2334-2343
Upsilon transformations satisfying certain regularity conditions are shown to generate semigroups of such transformations. This is based on a general commutativity property of the Upsilon transformations, and uses log infinite divisibility. The existence of random integral representations of...
Persistent link: https://www.econbiz.de/10008874201
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