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Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes


  • Jurek, Zbigniew J.


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).

Suggested Citation

  • Jurek, Zbigniew J., 2013. "Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 177-183.
  • Handle: RePEc:eee:stapro:v:83:y:2013:i:1:p:177-183 DOI: 10.1016/j.spl.2012.09.004

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    References listed on IDEAS

    1. 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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