Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Anita Behme - , Technical University of Braunschweig (Author)
  • M. Maejima - (Author)
  • Muneya Matsui - (Author)
  • Noriyoshi Sakuma - (Author)

Abstract

It is known that in many cases distributions of exponential integrals of Lévy processes are infinitely divisible and in some cases they are also selfdecomposable. In this paper, we give some sufficient conditions under which distributions of exponential integrals are not only selfdecomposable but furthermore are generalized gamma convolution. We also study exponential integrals of more general independent increment processes. Several examples are given for illustration.

Details

Original languageEnglish
Pages (from-to)1172-1187
Journal Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability
Volume18
Issue number4
Publication statusPublished - 2012
Peer-reviewedYes
Externally publishedYes

External IDs

Scopus 84873347720

Keywords

Library keywords