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arXiv 2603.28093math.PR
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随机变量的随机稳定性

Random Stability of Random Variables

University of Nevada, Reno(内华达大学里诺分校)

Andrey Sarantsev

AI总结:

研究随机变量N的稳定性条件,探讨N个独立同分布随机变量和与X的分布关系,证明N稳定当且仅当E[N]在1到无穷之间,且在额外条件下描述所有N稳定X。

摘要:

对于随机变量N=0,1,2,…,研究以下问题:当N个独立同分布的随机变量X之和的分布与X的非平凡缩放分布相同时,N何时存在?证明N稳定随机变量存在当且仅当1 < E[N] < ∞。在额外假设E[N ln N] < ∞下,描述所有N稳定X。还研究反向问题:对于给定的X ≥ 0且E[X] = 1,研究所有使X N-稳定的N集合。N的分布构成概率生成函数的半群,证明这些概率生成函数需在组合下相容。提出显式组合半群族。等价形式已出现在差分形式中,本文旨在统一并扩展这些形式。

英文摘要:

For a random variable $N = 0, 1, 2, \ldots$ we study the following question: When does the sum of $N$ many independent and identically distributed copies of a random variable $X$ have the same law a a nontrivial rescaling of $X$? We show that such $N$-stable random variable exists if and only $1 < \mathbb E[N] < \infty$. Under an additional assumption $\mathbb E[N\ln N] < \infty$, we describe all $N$-stable $X$. We also study a converse problem: For a given $X \ge 0$ with $\mathbb E[X] = 1$, we study the set of all $N$ such that $X$ is $N$-stable. Distributions of $N$ form a semigroup with respect to composition of probability generating functions. We show these probability generating functions need to commute with respect to composition. We present explicit families of composition semigroups. Equivalent formulations have appeared in difference forms, and this article aims to unify and extend them.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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