English

A random integral calculus on generalized s-selfdecomposable probability measures

Probability 2014-03-04 v2

Abstract

It is known that the class Uβ\mathcal{U}_{\beta}, of generalized s-selfdecom-posable probability distributions, can be viewed as an image via random integral mapping Jβ\mathcal{J}^{\beta} of the class IDID of all infinitely divisible measures. We prove that a composition of the mappings Jβ1,Jβ2,...,Jβn\mathcal{J}^{\beta_1}, \mathcal{J}^{\beta_2}, ..., \mathcal{J}^{\beta_n} is again random integral mapping but with a new inner time. In a proof some form of Lagrange interpolation formula is needed. Moreover, some elementary formulas concerning the distributions of products of powers of independent uniformly distributed random variables as established as well.

Keywords

Cite

@article{arxiv.1010.0131,
  title  = {A random integral calculus on generalized s-selfdecomposable probability measures},
  author = {Zbigniew J. Jurek},
  journal= {arXiv preprint arXiv:1010.0131},
  year   = {2014}
}

Comments

21 pages

R2 v1 2026-06-21T16:22:20.444Z