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On selfdecomposable Stieltjes transforms

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  • Szulga, Jerzy

Abstract

We investigate the selfdecomposability of a convex hull, or mixture, of exponential laws. Let the support of the mixing distribution be contained in an interval [m,M]. If 0

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  • Szulga, Jerzy, 2009. "On selfdecomposable Stieltjes transforms," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 748-752, March.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:6:p:748-752
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    References listed on IDEAS

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    1. N. H. Bingham & Rudiger Kiesel, 2002. "Semi-parametric modelling in finance: theoretical foundations," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 241-250.
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