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Nested subclasses of the class of $\alpha$-selfdecomposable distributions

Probability 2010-06-08 v1

Abstract

A probability distribution μ\mu on Rd\mathbb R ^d is selfdecomposable if its characteristic function μ^(z),zRd\widehat\mu(z), z\in\mathbb R ^d, satisfies that for any b>1b>1, there exists an infinitely divisible distribution ρb\rho_b satisfying μ^(z)=μ^(b1z)ρ^b(z)\widehat\mu(z) = \widehat\mu (b^{-1}z)\widehat\rho_b(z). This concept has been generalized to the concept of α\alpha-selfdecomposability by many authors in the following way. Let αR\alpha\in\mathbb R. An infinitely divisible distribution μ\mu on Rd\mathbb R ^d is α\alpha-selfdecomposable, if for any b>1b>1, there exists an infinitely divisible distribution ρb\rho_b satisfying μ^(z)=μ^(b1z)bαρ^b(z)\widehat\mu(z) = \widehat \mu (b^{-1}z)^{b^{\alpha}}\widehat\rho_b(z). By denoting the class of all α\alpha-selfdecomposable distributions on Rd\mathbb R ^d by L\leftangleα\rightangle(Rd)L^{\leftangle\alpha\rightangle}(\mathbb R ^d), we define in this paper a sequence of nested subclasses of L\leftangleα\rightangle(Rd)L^{\leftangle\alpha\rightangle}(\mathbb R ^d), and investigate several properties of them by two ways. One is by using limit theorems and the other is by using mappings of infinitely divisible distributions.

Keywords

Cite

@article{arxiv.1006.1047,
  title  = {Nested subclasses of the class of $\alpha$-selfdecomposable distributions},
  author = {Makoto Maejima and Yohei Ueda},
  journal= {arXiv preprint arXiv:1006.1047},
  year   = {2010}
}