Local Subexponentiality and Self-decomposability |
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Authors: | Toshiro Watanabe Kouji Yamamuro |
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Institution: | 1.Center for Mathematical Sciences,The University of Aizu,Aizu-Wakamatsu,Japan;2.Faculty of Engineering,Gifu University,Gifu,Japan |
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Abstract: | The class of exponential tilts of convolution equivalent distributions is determined. As a corollary, the local subexponentiality
of one-sided infinitely divisible distributions is characterized. It is applied to the subexponentiality of the densities
of a self-decomposable distribution and its Lévy measure. Bondesson’s conjecture on the density of the Lévy measure of a lognormal
distribution is solved as an example. Results of Denisov et al. on the distributions of random sums are extended to the two-sided
case. Finally, the local subexponentiality of the distribution of the supremum of a random walk is characterized. |
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Keywords: | |
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