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Representation of Infinitely Divisible Distributions on Cones

Author

Listed:
  • Victor Pérez-Abreu

    (Centro de Investigación en Matemáticas A. C.)

  • Jan Rosiński

    (University of Tennessee)

Abstract

We investigate infinitely divisible distributions on cones in Fréchet spaces. We show that every infinitely divisible distribution concentrated on a normal cone has the regular Lévy–Khintchine representation if and only if the cone is regular. These results are relevant to the study of multidimensional subordination.

Suggested Citation

  • Victor Pérez-Abreu & Jan Rosiński, 2007. "Representation of Infinitely Divisible Distributions on Cones," Journal of Theoretical Probability, Springer, vol. 20(3), pages 535-544, September.
    • Handle: RePEc:spr:jotpro:v:20:y:2007:i:3:d:10.1007_s10959-007-0076-z
    DOI: 10.1007/s10959-007-0076-z
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    References listed on IDEAS

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    1. Jonasson, Johan, 1998. "Infinite Divisibility of Random Objects in Locally Compact Positive Convex Cones," Journal of Multivariate Analysis, Elsevier, vol. 65(2), pages 129-138, May.
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