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Generalized Lévy stochastic areas and selfdecomposability

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  • Jurek, Zbigniew J.

Abstract

We show that a conditional characteristic function of generalized Lévy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., Lévy class L distribution) and its background driving characteristic function. This provides a stochastic interpretation for a ratio of some Bessel functions as well as examples of characteristic functions from van Dantzig class.

Suggested Citation

  • Jurek, Zbigniew J., 2003. "Generalized Lévy stochastic areas and selfdecomposability," Statistics & Probability Letters, Elsevier, vol. 64(2), pages 213-222, August.
    • Handle: RePEc:eee:stapro:v:64:y:2003:i:2:p:213-222
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    References listed on IDEAS

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    1. Jurek, Zbigniew J., 2000. "A note on gamma random variables and Dirichlet series," Statistics & Probability Letters, Elsevier, vol. 49(4), pages 387-392, October.
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    Cited by:

    1. Kadankova, Tetyana & Simon, Thomas & Wang, Min, 2020. "On some new moments of Gamma type," Statistics & Probability Letters, Elsevier, vol. 165(C).

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