Related papers: Selfdecomposability, perpetuity and stopping times
We determine the distributional behavior for products of free random variables in a general infinitesimal triangular array. In the case of positive variables, the main theorem extends a result proved earlier for arrays with identically…
For $\,0<\alpha\le \infty$, new subclasses $\,\mathcal{U}^{<\alpha>}$ of the class $\,\mathcal{U}$, of s-selfdecomposable probability measures, are studied. They are described by random integrals, by their characteristic functions and their…
We prove a general existence result in stochastic optimal control in discrete time where controls take values in conditional metric spaces, and depend on the current state and the information of past decisions through the evolution of a…
We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function.…
We summarize the relations among three classes of laws: infinitely divisible, selfdecomposable and stable. First we look at them as the solutions of the Central Limit Problem; then their role is scrutinized in relation to the Levy and the…
In this paper, we propose a new interpretation of local limit theorems for univariate and multivariate distributions on lattices. We show that - given a local limit theorem in the standard sense - the distributions are approximated well by…
The Central Limit Theorem states that, in the limit of a large number of terms, an appropriately scaled sum of independent random variables yields another random variable whose probability distribution tends to a stable distribution. The…
We revisit the problem of condensation for independent, identically distributed random variables with a power-law tail, conditioned by the value of their sum. For large values of the sum, and for a large number of summands, a condensation…
The concept of a L\'evy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the…
Superslow diffusion, i.e., the long-time diffusion of particles whose mean-square displacement (variance) grows slower than any power of time, is studied in the framework of the decoupled continuous-time random walk model. We show that this…
The definition of probabilities in eternally inflating universes requires a measure to regulate the infinite spacetime volume, and much of the current literature uses a global time cutoff for this purpose. Such measures have been found to…
We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…
The study of Fourier transforms of probability measures on fractal sets plays an important role in recent research. Faster decay rates are known to yield enhanced results in areas such as metric number theory. This paper focuses on…
Many classical variables (statistics) are selfdecomposable. They admit the random integral representations via L\'evy processes. In this note are given formulas for their background driving distribution functions (BDDF). This may be used…
It is shown that the hyperbolic functions can be associated with selfdecomposable distributions (in short: SD probability distributions or L\'evy class L probability laws). Consequently, they admit associated background driving L\'evy…
A generic model of stochastic autocatalytic dynamics with many degrees of freedom $w_i$ $i=1,...,N$ is studied using computer simulations. The time evolution of the $w_i$'s combines a random multiplicative dynamics $w_i(t+1) = \lambda…
We study p-adic counterparts of stable distributions, that is limit distributions for sequences of normalized sums of independent identically distributed p-adic-valued random variables. In contrast to the classical case, non-degenerate…
Ramachandran (1969, Theorem 8) has shown that for any univariate infinitely divisible distribution and any positive real number $\alpha$, an absolute moment of order $\alpha$ relative to the distribution exists (as a finite number) if and…
In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper L\'evy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by…
We study a new class of so-called rational-infinitely (or quasi-infinitely) divisible probability laws on the real line. The characteristic functions of these distributions are ratios of the characteristic functions of classical infinitely…