Composition semigroups and random stability
Bunge, John
Ann. Probab., Tome 24 (1996) no. 2, p. 1476-1489 / Harvested from Project Euclid
A random variable X is N-divisible if it can be decomposed into a random sum of N i.i.d. components, where N is a random variable independent of the components; X is N-stable if the components are rescaled copies of X. These N-divisible and N-stable random variables arise in a variety of stochastic models, including thinned renewal processes and subordinated Lévy and stable processes. We consider a general theory of N-divisibility and N-stability in the case where $E(N) < \infty$, based on a representation of the probability generating function of N in terms of its limiting Laplace. Stieltjes transform $\mathscr{l}$ We analyze certain topological semigroups of such p.g.f.’s in detail, and on this basis we extend existing characterizations of N-divisible and N-stable laws in terms of $\mathscr{l}$ . We apply the results to the aforementioned stochastic models.
Publié le : 1996-07-14
Classification:  Composition semigroup,  stable distribution,  infinitely divisible distribution,  Laplace-Stieltjes transform,  probability generating function,  random stability,  thinned renewal process,  60E07,  60E10
@article{1065725189,
     author = {Bunge, John},
     title = {Composition semigroups and random stability},
     journal = {Ann. Probab.},
     volume = {24},
     number = {2},
     year = {1996},
     pages = { 1476-1489},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1065725189}
}
Bunge, John. Composition semigroups and random stability. Ann. Probab., Tome 24 (1996) no. 2, pp.  1476-1489. http://gdmltest.u-ga.fr/item/1065725189/