Generalized L/'evy Stochastic Areas and Selfdecomposability
Probability
2010-09-21 v1
Abstract
We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function. This provides a stochastic interpretation for a ratio of some Bessel functions as well as examples of characteristic functions from van Dantzig class.
Cite
@article{arxiv.1009.3544,
title = {Generalized L/'evy Stochastic Areas and Selfdecomposability},
author = {Zbigniew J. Jurek},
journal= {arXiv preprint arXiv:1009.3544},
year = {2010}
}