English

Some positive conclusions related to the Embrechts-Goldie' conjecture

Probability 2017-08-01 v3

Abstract

In this paper, we give some conditions, under which, if an infinitely divisible distribution supported on [0,)[0,\infty) belongs to the intersection of exponential distribution class L(γ)\mathcal{L}(\gamma) for some γ0\gamma\ge0 and generalised subexponential distribution class OS\mathcal{OS}, then its Leˊ\rm\acute{e}vy spectral distribution or convolution of the distribution with itself also belongs to the same one. To this end, we discuss the closure under the compound convolution roots for the class. In addition, we do some in-depth discussion about the above-mentioned conditions, and provide some types of distributions satisfying them. Further, we obtain some local versions of the above-mentioned results by the Esscher transform of distributions. Therefore, some positive conclusions related to the Embrechts-Goldie conjecture are obtained. Prior to this, all corresponding results are negative

Keywords

Cite

@article{arxiv.1609.00912,
  title  = {Some positive conclusions related to the Embrechts-Goldie' conjecture},
  author = {Yuebao Wang and Zhaolei Cui and Hui Xu},
  journal= {arXiv preprint arXiv:1609.00912},
  year   = {2017}
}

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22 pages