On distributions determined by their upward, space-time Wiener-Hopf factor
Abstract
According to the Wiener-Hopf factorization, the characteristic function of any probability distribution on can be decomposed in a unique way as where and are the characteristic functions of possibly defective distributions in and , respectively. We prove that can be characterized by the sole data of the upward factor , , in many cases including the cases where: 1) has some exponential moments; 2) the function is completely monotone on ; 3) the density of on admits an analytic continuation on . We conjecture that any probability distribution is actually characterized by its upward factor. This conjecture is equivalent to the following: {\it Any probability measure on whose support is not included in is determined by its convolution powers , restricted to }. We show that in many instances, the sole knowledge of and restricted to is actually sufficient to determine . 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}
}