English

Local subexponentiality and infinitely divisible distributions

Probability 2023-02-21 v2

Abstract

We completely characterize Δ\Delta- and local subexponentialities of positive-half compound Poisson distributions and extend the characterization on two-sided distributions. Moreover, Δ\Delta-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 R\R. 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.

Keywords

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"

R2 v1 2026-06-28T08:40:28.798Z