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Titel:

Two Novel Characterizations of Self-Decomposability on the Half-Line

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.-F.; Schenk, S.; Scherer, M.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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...     »
Stichworte:
Self-decomposability, Sato process, Copula, Complete monotonicity
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Journal of Theoretical Probability
Jahr:
2017
Band / Volume:
30
Jahr / Monat:
2017-03
Heft / Issue:
1
Seitenangaben Beitrag:
365–383
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1007/s10959-015-0644-6
WWW:
https://rdcu.be/6mEM
Hinweise:
First online 2015
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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