Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes
It is shown that some convolution semigroups of infinitely divisible measures are invariant under certain random integral mappings. We characterize the coincidence of random integrals for s-selfdecomposable and selfdecomposable distributions. Some applications are given to the moving average fractional Lévy process (MAFLP).
Volume (Year): 83 (2013)
Issue (Month): 1 ()
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- Cohen, Serge & Maejima, Makoto, 2011. "Selfdecomposability of moving average fractional Lévy processes," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1664-1669, November.
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