Characterization of infinitely divisible multivariate gamma distributions

A particular class of p-dimensional exponential distributions have Laplace transforms |I + VT|^?1, V positive definite or positive semi-definite and T = diagonal (t₁,…, t_p). A characterization is given of when these Laplace transforms are infinitely divisible.     

On α-factors of multivariate infinitely divisible probabilities

Let p be an infinitely divisible n-variate probability having μ for Poisson measure. We give here some sufficient conditions for p to belong to the class $\text{I}{}_{\mathrm{\alpha }}{}^{\mathrm{n}}$ of n-variate probabilities having only infinitely divisible α-factors. These results are interesting since they are concerned with the case when μ is a continuous measure.     

On a certain class of infinitely divisible distributions

We characterize the class of distribution functions Φ(x), which are limits in the following sense: there exist a sequence of independent and equally distributed random variables {ξ _n }, numerical sequences {a _k }, {b _k } and natural numbers {n _k } such that $$\mathop {lim}\limits_{k \to \infty } Prob\left\{ {\frac{1}{{a_k }}\mathop {\Sigma }\limits_{k = 1}^{n_k } \xi _k - b_k< x} \right\} = \Phi (x)$$ and $$\mathop {\lim \inf }\limits_{k \to \infty } (n_k /n_{k + 1} ) > 0$$ .     

Banach algebras and infinitely divisible distributions

Translated from Matematicheskie Zametki, Vol. 46, No. 4, pp. 60–65, October, 1989.     

On an application of infinitely divisible distributions to quadrature problems

— - , .     

On infinitely divisible semimartingales

Stricker’s theorem states that a Gaussian process is a semimartingale in its natural filtration if and only if it is the sum of an independent increment Gaussian process and a Gaussian process of finite variation, see Stricker (Z Wahrsch Verw Geb 64(3):303–312, 1983). We consider extensions of this result to non Gaussian infinitely divisible processes. First we show that the class of infinitely divisible semimartingales is so large that the natural analog of Stricker’s theorem fails to hold. Then, as the main result, we prove that an infinitely divisible semimartingale relative to the filtration generated by a random measure admits a unique decomposition into an independent increment process and an infinitely divisible process of finite variation. Consequently, the natural analog of Stricker’s theorem holds for all strictly representable processes (as defined in this paper). Since Gaussian processes are strictly representable due to Hida’s multiplicity theorem, the classical Stricker’s theorem follows from our result. Another consequence is that the question when an infinitely divisible process is a semimartingale can often be reduced to a path property, when a certain associated infinitely divisible process is of finite variation. This gives the key to characterize the semimartingale property for many processes of interest. Along these lines, using Basse-O’Connor and Rosiński (Stoch Process Appl 123(6):1871–1890, 2013a), we characterize semimartingales within a large class of stationary increment infinitely divisible processes; this class includes many infinitely divisible processes of interest, including linear fractional processes, mixed moving averages, and supOU processes, as particular cases. The proof of the main theorem relies on series representations of jumps of càdlàg infinitely divisible processes given in Basse-O’Connor and Rosiński (Ann Probab 41(6):4317–4341, 2013b) combined with techniques of stochastic analysis.     

The asymptotics of multidimensional infinitely divisible distributions

The present article deals with the asymptotics at infinity of multidimensional infinitely divisible distributions with the support in a cone. Proceedings of the XVII Seminar on Stability Problems for Stochastic Models, Kazan, Russian, 1995, Part III.     

On quasi‐infinitely divisible distributions with a point mass

An infinitely divisible distribution on is a probability measure μ such that the characteristic function has a Lévy–Khintchine representation with characteristic triplet , where ν is a Lévy measure, and . A natural extension of such distributions are quasi‐infinitely distributions. Instead of a Lévy measure, we assume that ν is a “signed Lévy measure”, for further information on the definition see [10]. We show that a distribution with and , where is the absolutely continuous part, is quasi‐infinitely divisible if and only if for every . We apply this to show that certain variance mixtures of mean zero normal distributions are quasi‐infinitely divisible distributions, and we give an example of a quasi‐infinitely divisible distribution that is not continuous but has infinite quasi‐Lévy measure. Furthermore, it is shown that replacing the signed Lévy measure by a seemingly more general complex Lévy measure does not lead to new distributions. Last but not least it is proven that the class of quasi‐infinitely divisible distributions is not open, but path‐connected in the space of probability measures with the Prokhorov metric.     

Generalized renewal sequences and infinitely divisible lattice distributions

We introduce an increasing set of classes Γ_a (0?α?1) of infinitely divisible (i.d.) distributions on {0,1,2,…}, such that Γ₀ is the set of all compound-geometric distributions and Γ₁ the set of all compound-Poisson distributions, i.e. the set of all i.d. distributions on the non-negative integers. These classes are defined by recursion relations similar to those introduced by Katti [4] for Γ₁ and by Steutel [7] for Γ₀. These relations can be regarded as generalizations of those defining the so-called renewal sequences (cf. [5] and [2]). Several properties of i.d. distributions now appear as special cases of properties of the Γ_a'.     

On infinitely divisible distributions with light tails of Lévy measures

We show that if the tail of a Lévy measure is light, then the same holds for the tail of the corresponding infinitely divisible distribution.     

Approximation by infinitely divisible distributions in the multidimensional case

Let be the collection of parallelepipeds in R with edges parallel with the coordinate axes and let be the collection of closed sets in R. Let (G, H)=inf {G{A}H{A}+, H{A}G{A}+ for any; L(G, H)= inf {G{A}H{A}+, H{A}G{A}+ for any, where G, H are distributions in . In the paper one gives the proofs of results announced earlier by the author (Dokl. Akad. Nauk SSSR,253, No. 2, 277–279 (1980)). One considers the problem of the approximation of the distributions of sums of independent random vectors with the aid of infinitely divisible distributions. One obtains estimates for the distances (·, ·), L(·, ·) and. It is proved that, where 0p_i1, ; E is the distribution concentrated at zero; V_i(i=1, ..., n) are arbitrary distributions; the products and the exponentials are understood in the sense of convolution.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 130, pp. 89–103, 1983.