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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.-F.; Schenk, S.; Scherer, M. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Two Novel Characterizations of Self-Decomposability on the Half-Line 
Abstract:
Two novel characterizations of self-decomposable Bernstein functions are provided. The first one is purely analytic, stating that a function Ψ is the Bernstein function of a self-decomposable probability law π on the positive half-axis if and only if alternating sums of Ψ satisfy certain monotonicity conditions. The second characterization is of probabilistic nature, showing that Ψ is a self-decomposable Bernstein function if and only if a related d-variate function Cψ,d, ψ:=exp(−Ψ), is a d-vari...    »
 
Keywords:
Self-decomposability, Sato process, Copula, Complete monotonicity 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Journal of Theoretical Probability 
Year:
2017 
Journal volume:
30 
Year / month:
2017-03 
Journal issue:
Pages contribution:
365–383 
Reviewed:
ja 
Language:
en 
Notes:
First online 2015 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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