On Multivariate Quasi-infinitely Divisible Distributions

Research output: Contribution to book/Conference proceedings/Anthology/ReportChapter in book/Anthology/ReportContributedpeer-review

Contributors

  • David Berger - , Chair of Probability Theory (Author)
  • Merve Kutlu - , Ulm University (Author)
  • Alexander Lindner - , Ulm University (Author)

Abstract

A quasi-infinitely divisible distribution on ℝd is a probability distribution μ on ℝd whose characteristic function can be written as the quotient of the characteristic functions of two infinitely divisible distributions on ℝd. Equivalently, it can be characterised as a probability distribution whose characteristic function has a Lévy–Khintchine type representation with a “signed Lévy measure”, a so called quasi–Lévy measure, rather than a Lévy measure. A systematic study of such distributions in the univariate case has been carried out in Lindner, Pan and Sato (Trans Am Math Soc 370:8483–8520, 2018). The goal of the present paper is to collect some known results on multivariate quasi-infinitely divisible distributions and to extend some of the univariate results to the multivariate setting. In particular, conditions for weak convergence, moment and support properties are considered. A special emphasis is put on examples of such distributions and in particular on ℤd -valued quasi-infinitely divisible distributions.

Details

Original languageEnglish
Title of host publicationA Lifetime of Excursions Through Random Walks and Lévy Processes : A Volume in Honour of Ron Doney’s 80th Birthday
PublisherSpringer Nature
Pages87-120
Number of pages34
Publication statusPublished - 2021
Peer-reviewedYes

Publication series

SeriesProgress in probability : PP
Volume78
ISSN1050-6977

Keywords

Keywords

  • Infinitely divisible distribution, quasi-infinitely divisible distribution, signed Lévy measure