Generalized L/'evy Stochastic Areas and Selfdecomposability

Details Generalized L/'evy Stochastic Areas and Selfdecomposability Generalized L/'evy Stochastic Areas and Selfdecomposability

2010-09-18

arxiv.org/abs/1009.3544v1

Statatistics and Probability Letters, vol. 64 (2003), pp. 213-222

Mathematics

Probability

Scientific paper

We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function. This provides a stochastic interpretation for a ratio of some Bessel functions as well as examples of characteristic functions from van Dantzig class.

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