Complete bernstein functions and subordinators with nested ranges. A note on a paper by P. Marchal

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Contributors

Abstract

Let α: [0, 1] → [0, 1] be a measurable function. It was proved by P. Marchal [2] that the function (Formula Presented) is a special Bernstein function. Marchal used this to construct, on a single probability R(a) such that (Formula Presented) space, a is the subordinator with Laplace exponent φ(ɑ)) and R(ɑ) ⊂ R(β) whenever ɑ ≤ β. We give two simple proofs showing that φ(ɑ) is a complete Bernstein function and extend Marchal’s construction to all complete Bernstein functions.

Details

Original languageEnglish
Pages (from-to)1-5
Journal Electronic communications in probability : ECP
Volume21
Publication statusPublished - 2016
Peer-reviewedYes

Keywords

Keywords

  • Bernstein function, Complete Bernstein function, Subordinator