Local subexponentiality and infinitely divisible distributions
Probability
2023-02-21 v2
Abstract
We completely characterize - and local subexponentialities of positive-half compound Poisson distributions and extend the characterization on two-sided distributions. Moreover, -subexponentiality of infinitely divisible distributions is characterized with new conditions, and local subexponentiality is newly characterized in the two-sided case. In the process closedness properties of these subexponentialities are derived, particularly for distributions on . Most results are obtained by exploiting monotonic-type assumptions. We apply our results to distributions of supremum of a random work and a randomly stopped iid sum.
Cite
@article{arxiv.2302.07487,
title = {Local subexponentiality and infinitely divisible distributions},
author = {Muneya Matsui and Toshiro Watanabe},
journal= {arXiv preprint arXiv:2302.07487},
year = {2023}
}
Comments
27 pages, presented at at the annual workshop "Infinitely divisible processes and related topics"