A random integral calculus on generalized s-selfdecomposable probability measures
Probability
2014-03-04 v2
Abstract
It is known that the class , of generalized s-selfdecom-posable probability distributions, can be viewed as an image via random integral mapping of the class of all infinitely divisible measures. We prove that a composition of the mappings 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.
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