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Densities for infinitely divisible random processes

Author

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  • Briggs, Vera Darlene

Abstract

Let {[xi]j(t), t [set membership, variant] [0, T]} J = 1, 2 be infinitely divisible processes with distinct Poisson components and no Gaussian components. Let X be the set of all real-valued functions on [0, T] which are not identically zero, and be the [sigma]-ring generated by the cylinder sets of [xi]j(t), J = 1, 2. Let [mu]j be the measure on induced by [xi]j(t). Necessary and sufficient conditions on the projective limits of the Lévy-Khinchine spectral measures of the processes are found to make [mu]2

Suggested Citation

  • Briggs, Vera Darlene, 1975. "Densities for infinitely divisible random processes," Journal of Multivariate Analysis, Elsevier, vol. 5(2), pages 178-205, June.
    • Handle: RePEc:eee:jmvana:v:5:y:1975:i:2:p:178-205
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