Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
Statistics Theory
2012-11-26 v1 Statistics Theory
Abstract
It is known that in many cases distributions of exponential integrals of Levy processes are infinitely divisible and in some cases they are also selfdecomposable. In this paper, we give some sufficient conditions under which distributions of exponential integrals are not only selfdecomposable but furthermore are generalized gamma convolution. We also study exponential integrals of more general independent increment processes. Several examples are given for illustration.
Keywords
Cite
@article{arxiv.1211.5281,
title = {Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions},
author = {Anita Behme and Makoto Maejima and Muneya Matsui and Noriyoshi Sakuma},
journal= {arXiv preprint arXiv:1211.5281},
year = {2012}
}
Comments
Published in at http://dx.doi.org/10.3150/11-BEJ382 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)