English

On distributions determined by their upward, space-time Wiener-Hopf factor

Probability 2017-11-29 v2

Abstract

According to the Wiener-Hopf factorization, the characteristic function φ\varphi of any probability distribution μ\mu on R\mathbb{R} can be decomposed in a unique way as 1sφ(t)=[1χ(s,it)][1χ+(s,it)],      s1,tR,1-s\varphi(t)=[1-\chi_-(s,it)][1-\chi_+(s,it)]\,,\;\;\;|s|\le1,\,t\in\mathbb{R}\,, where χ(eiu,it)\chi_-(e^{iu},it) and χ+(eiu,it)\chi_+(e^{iu},it) are the characteristic functions of possibly defective distributions in Z+×(,0)\mathbb{Z}_+\times(-\infty,0) and Z+×[0,)\mathbb{Z}_+\times[0,\infty), respectively. We prove that μ\mu can be characterized by the sole data of the upward factor χ+(s,it)\chi_+(s,it), s[0,1)s\in[0,1), tRt\in\mathbb{R} in many cases including the cases where: 1) μ\mu has some exponential moments; 2) the function tμ(t,)t\mapsto\mu(t,\infty) is completely monotone on (0,)(0,\infty); 3) the density of μ\mu on [0,)[0,\infty) admits an analytic continuation on R\mathbb{R}. We conjecture that any probability distribution is actually characterized by its upward factor. This conjecture is equivalent to the following: {\it Any probability measure μ\mu on R\mathbb{R} whose support is not included in (,0)(-\infty,0) is determined by its convolution powers μn\mu^{*n}, n1n\ge1 restricted to [0,)[0,\infty)}. We show that in many instances, the sole knowledge of μ\mu and μ2\mu^{*2} restricted to [0,)[0,\infty) is actually sufficient to determine μ\mu. Then we investigate the analogous problem in the framework of infinitely divisible distributions.

Keywords

Cite

@article{arxiv.1702.00067,
  title  = {On distributions determined by their upward, space-time Wiener-Hopf factor},
  author = {Loïc Chaumont and Ron Doney},
  journal= {arXiv preprint arXiv:1702.00067},
  year   = {2017}
}