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arXiv · 1206.3047

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

Zbigniew J. Jurek
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Abstract

It is shown that some convolution semigroups of infinitely divisible measures are invariant under the random integral mappings $I^{h,r}_{(a,b]}$ defined in $(\star)$ below. The converse implication is specified for the semigroups of generalized s-selfdecomposable and selfdecomposable distributions. Some application are given to the moving average fractional Lévy process (MAFLP).

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Zbigniew J. Jurek. 2012-06-14. Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes. https://arxiv.org/abs/1206.3047

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