Calculus on random integral mappings $I^{h,r}_{(a,b]}$ and their domains
Probability
2013-10-15 v3
Abstract
It is proved that the random integral mappings (some type of functionals of L\'evy processes) are always isomorphisms between convolution semigroups of infinitely divisible measures. However, the inverse mappings are no longer of the random integral form. Domains are characterized in may ways. Compositions (iterated integrals) can be expressed as a single random integral mapping. Finally, all obtained results are illustrated by examples.
Keywords
Cite
@article{arxiv.1210.5990,
title = {Calculus on random integral mappings $I^{h,r}_{(a,b]}$ and their domains},
author = {Zbigniew J. Jurek},
journal= {arXiv preprint arXiv:1210.5990},
year = {2013}
}