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Subordination and self-decomposability

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  • Sato, Ken-iti

Abstract

Two facts are established concerning subordination and self-decomposability. (1) Any subordinated process arising from a Brownian motion with drift and a self-decomposable subordinator is self-decomposable. (2) Self-decomposable distributions of type G are not necessarily of type GL. Consequences of the first fact on smoothness of the distributions are discussed.

Suggested Citation

  • Sato, Ken-iti, 2001. "Subordination and self-decomposability," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 317-324, October.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:3:p:317-324
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