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A note on self-decomposability of stable process subordinated to self-decomposable subordinator

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  • Kozubowski, Tomasz J.

Abstract

We provide an example that shows that there exists a stable Lévy motion and self-decomposable subordinator , such that the corresponding subordinated process is not self-decomposable.

Suggested Citation

  • Kozubowski, Tomasz J., 2005. "A note on self-decomposability of stable process subordinated to self-decomposable subordinator," Statistics & Probability Letters, Elsevier, vol. 73(4), pages 343-345, July.
    • Handle: RePEc:eee:stapro:v:73:y:2005:i:4:p:343-345
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    References listed on IDEAS

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    1. Gawronski Wolfgang, 2001. "On The Unimodality Of Geometric Stable Laws," Statistics & Risk Modeling, De Gruyter, vol. 19(4), pages 405-418, April.
    2. B. Ramachandran, 1997. "On Geometric-Stable Laws, a Related Property of Stable Processes, and Stable Densities of Exponent One," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(2), pages 299-313, June.
    3. R. Pillai, 1990. "On Mittag-Leffler functions and related distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(1), pages 157-161, March.
    4. Sato, Ken-iti, 2001. "Subordination and self-decomposability," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 317-324, October.
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    Cited by:

    1. Lennart Bondesson, 2015. "A Class of Probability Distributions that is Closed with Respect to Addition as Well as Multiplication of Independent Random Variables," Journal of Theoretical Probability, Springer, vol. 28(3), pages 1063-1081, September.

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