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Extended Thorin classes and stochastic integrals |
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| Authors: | B. Grigelionis |
| Affiliation: | (1) Institute of Mathematics and Informatics, Akademijos 4, LT-08663 Vilnius, Lithuania |
| Abstract: | Extended Thorin classes T ϰ (R d ), ϰ > 0, of infinitely divisible probability laws on R d are defined and analytically characterized in [6]. Using general results from [8] and [9], in this paper, we derive a stochastic integral representation of these classes. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 4, pp. 497–503, October–December, 2007. |
| Keywords: | extended Thorin class infinitely divisible distribution Lévy process polar characteristics stochastic integral representation Thorin characteristics |
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