Characterization of infinite divisibility by duality formulas application to Levy processes and random measures
- Processes with independent increments are proven to be the unique solutions of duality formulas. This result is based on a simple characterization of infinitely divisible random vectors by a functional equation in which a difference operator appears. This operator is constructed by a variational method and compared to approaches involving chaos decompositions. We also obtain a related characterization of infinitely divisible random measures.
MetadatenAuthor details: | Rüdiger Murr |
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DOI: | https://doi.org/10.1016/j.spa.2012.12.012 |
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ISSN: | 0304-4149 |
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Title of parent work (English): | Stochastic processes and their application |
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Publisher: | Elsevier |
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Place of publishing: | Amsterdam |
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Publication type: | Article |
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Language: | English |
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Year of first publication: | 2013 |
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Publication year: | 2013 |
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Release date: | 2017/03/26 |
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Tag: | Duality formula; Infinite divisibility; Integration by parts formula; Levy processes; Malliavin calculus; Random measures |
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Volume: | 123 |
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Issue: | 5 |
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Number of pages: | 21 |
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First page: | 1729 |
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Last Page: | 1749 |
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Funding institution: | l'Ecole Doctorale de l'Universite Paris Quest Nanterre La Defense [139];
Deutsch-Franzosisches Doktorandenkolleg CDFA [01-06] |
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Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
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Peer review: | Referiert |
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