Semi-Selfdecomposable Laws and Related Processes

Operator semi-selfdecomposable measures and related nested subclasses of measures on vector spaces

$T$-semi-selfdecomposability and subclasses $L_m(b, Q)$ and $\tilde L_m(b, Q)$ of measures on complete separable metric vector spaces are introduced and basic properties are proved. In particular, we show that $μ$ is $T$-semi-selfdecomposable if and only if $μ= T(μ) ν$ where $ν$ is infinitely divisible and $μ$ is operator selfdecomposable if and only if $μ\in L_0(b, Q)$ for all $0< b < 1$.

A Generalization of Stationary AR(1) Schemes

Here we develop a first order autoregressive model {Xn} that is marginally stationary where Xn is the sum/ extreme of k i.i.d observations. We prove that stationary solutions to these models are either semi-selfdecomposable/ extreme-semi-selfdecomposable or, sum/ extreme stable with respect to Harris distribution.

On the Marginal Distributions of Stationary AR(1) Sequences

In this note we correct an omission in our paper (Satheesh and Sandhya, 2005) in defining semi-selfdecomposable laws and also show with examples that the marginal distributions of a stationary AR(1) process need not even be infinitely divisible.

The normal distribution is freely selfdecomposable

The class of selfdecomposable distributions in free probability theory was introduced by Barndorff-Nielsen and the third named author. It constitutes a fairly large subclass of the freely infinitely divisible distributions, but so far specific examples have been limited to Wigner's semicircle distributions, the free stable distributions, two kinds of free gamma distributions and a few other examples. In this paper, we prove that the (classical) normal distributions are freely selfdecomposable. More generally it is established that the Askey-Wimp-Kerov distribution $μ_c$ is freely selfdecomposa…

An Autoregressive Model with Semi-stable Marginals

The family of semi-stable laws is shown to be semi-selfdecomposable. Thus they qualify to model stationary first order autoregressive schemes. A connection between these autoregressive schemes with semi-stable marginals and semi-selfsimilar processes is given.

Selfdecomposable Fields

In the present paper we study selfdecomposability of random fields, as defined directly rather than in terms of finite-dimensional distributions. The main tools in our analysis are the master Lévy measure and the associated Lévy-Itô representation. We give the dilation criterion for selfdecomposability analogous to the classical one. Next, we give necessary and sufficient conditions (in terms of the kernel functions) for a Volterra field driven by a Lévy basis to be selfdecomposable. In this context we also study the so-called Urbanik classes of random fields. We follow this with the study of …

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 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).

Some properties of exponential integrals of Lévy processes and examples

The improper stochastic integral $Z=\int_0^{\infty-}\exp(-X_{s-})dY_s$ is studied, where $\{(X_t, Y_t), t \geqslant 0 \}$ is a Lévy process on $\mathbb R ^{1+d}$ with $\{X_t \}$ and $\{Y_t \}$ being $\mathbb R$-valued and $\mathbb R ^d$-valued, respectively. The condition for existence and finiteness of $Z$ is given and then the law $\mathcal L(Z)$ of $Z$ is considered. Some sufficient conditions for $\mathcal L(Z)$ to be selfdecomposable and some sufficient conditions for $\mathcal L(Z)$ to be non-selfdecomposable but semi-selfdecomposable are given. Attention is paid to the case where $d=1$,…

Selfdecomposability and selfsimilarity: a concise primer

We summarize the relations among three classes of laws: infinitely divisible, selfdecomposable and stable. First we look at them as the solutions of the Central Limit Problem; then their role is scrutinized in relation to the Levy and the additive processes with an emphasis on stationarity and selfsimilarity. Finally we analyze the Ornstein-Uhlenbeck processes driven by Levy noises and their selfdecomposable stationary distributions, and we end with a few particular examples.

Some characterizations of multiple selfdecomposability with extensions and an application to the Gamma function

Inspirations for this paper can be traced to Urbanik (1972) where convolution semigroups of multiple decomposable distributions were introduced. In particular, the classical gamma $\mathbb{G}_t$ and $\log \mathbb{G}_t$, $t>0$ variables are selfdecomposable. In fact, we show that $\log \mathbb{G}_t$ is twice selfdecomposable if, and only if, $t\geq t_1 \approx 0.15165$. Moreover, we provide several new factorizations of the Gamma function and the Gamma distributions. To this end, we revisit the class of multiply selfdecomposable distributions, denoted $L_n(R)$, and propose handy tools for its c…

关于用谱方法研究具有自可分极限定律的定量广义中心极限定理的一些注记

Some Notes on Quantitative Generalized CLTs with Self-Decomposable Limiting Laws by Spectral Methods

本文利用 Stein 方法、闭式技术和加权 Poincaré 型不等式，获得了自可分和对称 α-稳定概率测度的新稳定性估计，并计算了广义中心极限定理在 Wasserstein 型距离下的收敛速度，特别是 Cauchy 情形下的 $n^{-1}$ 收敛速度。

Weak calculus of variations for functionals of laws of semi-martingales

We develop a non-anticipating calculus of variations for functionals on a space of laws of continuous semi-martingales, which extends the classical one. We extend Hamilton's least action principle and Noether's theorem to this generalized stochastic framework. As an application we obtain, under mild conditions, a stochastic Euler-Lagrange condition and invariants for the critical points of recent problems in stochastic control, namely for the semi-martingale optimal transportation problems.

具有类康托尔边缘分布的自动回归过程的极大半稳定极值律

Max-semistable extreme value laws for autoregressive processes with Cantor-like marginals

本文研究边缘分布类似康托尔函数的自动回归过程，证明其边缘分布属于极大半稳定分布的吸引域，并通过引入极值指数得到该过程的极值律，同时揭示其与确定性动力系统极值的联系。

随机标量守恒律的半离散化方法：多粗糙通量情况

Semi-discretization for stochastic scalar conservation laws with multiple rough fluxes

本文提出半离散化方法用于求解具有多粗糙时间依赖的非均匀通量的随机标量守恒律，基于Brenier运输-坍缩算法和粗糙路径定义的特征线，证明了强L^1收敛性及收敛速度。

On the existence of a time inhomogeneous skew Brownian motion and some related laws

This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In particular, using the description of the straddling excursion above a deterministic time, we compute the joint law of the process, its local time and its straddling time.

连续随机变量

Continuous random variables

本文是融入量子思想的概率学导论，先讲离散概率，再讲连续概率相关分布、中心极限定理等，最后介绍随机矩阵与自由性。

The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck Processes with Lévy Noise in Hilbert spaces

This paper is about the structure of all entrance laws (in the sense of Dynkin) for time-inhomogeneous Ornstein-Uhlenbeck processes with Lévy noise in Hilbert state spaces. We identify the extremal entrance laws with finite weak first moments through an explicit formula for their Fourier transforms, generalising corresponding results by Dynkin for Wiener noise and nuclear state spaces. We then prove that an arbitrary entrance law with finite weak first moments can be uniquely represented as an integral over extremals. It is proved that this can be derived from Dynkin's seminal work "Sufficient…

Finite Partially Exchangeable Laws are Signed Mixtures of Product Laws

Given a partition $\{I_1,\ldots,I_k\}$ of $\{1,\ldots,n\}$, let $(X_1,\ldots,X_n)$ be random vector with each $X_i$ taking values in an arbitrary measurable space $(S,\mathscr{S})$ such that their joint law is invariant under finite permutations of the indexes within each class $I_j$. Then, it is shown that this law has to be a signed mixture of independent laws and identically distributed within each class $I_j$. The representation is unique if and only if the set of these signed measures is weakly compact. We provide a necessary condition for the existence of a nonnegative directing measure.…

Limit laws for sums of independent random products: the lattice case

Let $\{V_{i,j}; (i,j)\in\N^2\}$ be a two-dimensional array of i.i.d.\ random variables. The limit laws of the sum of independent random products $$ Z_n=\sum_{i=1}^{N_n} \prod_{j=1}^{n} e^{V_{i,j}} $$ as $n,N_n\to\infty$ have been investigated by a number of authors. Depending on the growth rate of $N_n$, the random variable $Z_n$ obeys a central limit theorem, or has limiting $α$-stable distribution. The latter result is true for non-lattice $V_{i,j}$ only. Our aim is to study the lattice case. We prove that although the (suitably normalized) sequence $Z_n$ fails to converge in distribution, i…