Characterization of multivariate stable processes
| Autor: | Farouk Mselmi, Mahdi Louati, Afif Masmoudi |
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| Rok vydání: | 2017 |
| Předmět: |
Pure mathematics
Exponential distribution General Mathematics 010102 general mathematics Univariate Probability density function 01 natural sciences Lévy process Laplace distribution Combinatorics Stable process 010104 statistics & probability 0101 mathematics Natural exponential family Random variable Mathematics |
| Zdroj: | Lithuanian Mathematical Journal. 57:59-68 |
| ISSN: | 1573-8825 0363-1672 |
| Popis: | This paper deals with a characterization of a multivariate stable process using an independence property with a positive random variable. Moreover, we establish a characterization of a multivariate Levy process based on the notion of cut in a natural exponential family. This allows us to draw some related properties. More precisely, we give the probability density function of this process and the law of the mixture of the Levy process governed by the convolution semigroup with respect to an exponential random variable. These results are confidentially connected with the univariate case given by [G. Letac and V. Seshadri, Exponential stopping and drifted stable processes, Stat. Probab. Lett., 72:137–143, 2005]. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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