Some explicit Krein representations of certain subordinators, including the Gamma process

Details Some explicit Krein representations of certain subordinators, including the Gamma process Some explicit Krein representations of certain subordinators, including the Gamma process

2005-03-14

arxiv.org/abs/math/0503254v1

Mathematics

Probability

Scientific paper

We give a representation of the Gamma subordinator as a Krein functional of
Brownian motion, using the known representations for stable subordinators and
Esscher transforms. In particular, we have obtained Krein representations of
the subordinators which govern the two parameter Poisson-Dirichlet family of
distributions.

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