On directional convolution equivalent densities
Probability
2022-05-10 v2 Analysis of PDEs
Functional Analysis
Abstract
We propose a definition of directional multivariate subexponential and convolution equivalent densities and find a useful characterization of these notions for a class of integrable and almost radial decreasing functions. We apply this result to show that the density of the absolutely continuous part of the compound Poisson measure built on a given density is directionally convolution equivalent and inherits its asymptotic behaviour from if and only if is directionally convolution equivalent. We also extend this characterization to the densities of more general infinitely divisible distributions on , , which are not pure compound Poisson.
Cite
@article{arxiv.2109.06336,
title = {On directional convolution equivalent densities},
author = {Kamil Kaleta and Daniel Ponikowski},
journal= {arXiv preprint arXiv:2109.06336},
year = {2022}
}
Comments
16 pages, revised version, some new references and comments added