Given a probability distribution $μ$ a set $Λ(μ)$ of positive real numbers is introduced, so that $Λ(μ)$ measures the "divisibility" of $μ$. The basic properties of $Λ(μ)$ are described and examples of probability distributions are given, which exhibit the existence of a continuum of situations interpolating the extreme cases of infinitely and minimally divisible probability distributions.
Random integral mappings $I^{h,r}_{(a,b]}$ give isomorphisms between the sub-semigroups of the classical $(ID, \ast)$ and the free-infinite divisible $(ID,\boxplus)$ probability measures. This allows us to introduce new examples of such measures and their corresponding characteristic functionals.
We describe certain sufficient conditions for an infinitely divisible probability measure on a class of connected Lie groups to be embeddable in a continuous one-parameter convolution semigroup of probability measures. (Theorem 1.3). This enables us in particular to conclude the embeddability of all infinitely divisible probability measures on certain Lie groups, including the so called Walnut group (Corollary 1.5). The embeddability is concluded also under certain other conditions (Corollary 1.4 and Theorem 1.6).
Based on the~method of subordinating functions we prove bounds for the minimal error of approximations of $n$-fold convolutions of probability measures by free infinitely divisible probability measures.
In this work infinitely divisible cylindrical probability measures on arbitrary Banach spaces are introduced. The class of infinitely divisible cylindrical probability measures is described in terms of their characteristics, a characterisation which is not known in general for infinitely divisible Radon measures on Banach spaces. Further properties of infinitely divisible cylindrical measures such as continuity are derived. Moreover, the result on the classification enables us to conclude new results on genuine Levy measures on Banach spaces.
A quasi-infinitely divisible distribution on $\mathbb{R}$ is a probability distribution whose characteristic function allows a Lévy-Khintchine type representation with a "signed Lévy measure", rather than a Lévy measure. Quasi-infinitely divisible distributions appear naturally in the factorization of infinitely divisible distributions. Namely, a distribution $μ$ is quasi-infinitely divisible if and only if there are two infinitely divisible distributions $μ_1$ and $μ_2$ such that $μ_1 \ast μ= μ_2$. The present paper studies certain properties of quasi-infinitely divisible distributions in ter…
We show that a function $\tan(1/it)$ is a Pick function (free-infinitely divisible transform) and indicate its connections with a probability. Moreover, we found its "counterpart" in classical infinitely divisible measures expressed as series of Rademacher variables.
In 1964 R.Gangolli published a Lévy-Khintchine type formula which characterised $K$ bi-invariant infinitely divisible probability measures on a symmetric space $G/K$. His main tool was Harish-Chandra's spherical functions which he used to construct a generalisation of the Fourier transform of a measure. In this paper we use generalised spherical functions (or Eisenstein integrals) and extensions of these which we construct using representation theory to obtain such a characterisation for arbitrary infinitely divisible probability measures on a non-compact symmetric space. We consider the examp…
We derive some estimates for the integral modulus of continuity of probability densities of infinitely divisible distributions. The paper is splitted into two parts. The first part deals with general infinitely divisible distributions. The second part is mainly concerned with densities of random integrals with respect to a Lévy process. We will see major differences between compact and non-compact supports.
A quasi-infinitely divisible distribution on $\mathbb{R}^d$ is a probability distribution $μ$ on $\mathbb{R}^d$ whose characteristic function can be written as the quotient of the characteristic functions of two infinitely divisible distributions on $\mathbb{R}^d$. Equivalently, it can be characterised as a probability distribution whose characteristic function has a Lévy--Khintchine type representation with a "signed Lévy measure", a so called quasi--Lévy measure, rather than a Lévy measure. A systematic study of such distributions in the univariate case has been carried out in Lindner, Pan a…
Denseness in total variation and the class of rational-infinitely divisible distributions
Institute for Information Transmission Problems (Kharkevich Institute) of Russian Academy of Sciences（俄罗斯科学院信息传输问题研究所（哈尔克维奇研究所））；Smolensk State University（斯摩棱斯克国立大学）
A probability distribution $μ$ on $\mathbb{R}^d$ is quasi-infinitely divisible if its characteristic function has the representation $\widehatμ = \widehat{μ_1}/\widehat{μ_2}$ with infinitely divisible distributions $μ_1$ and $μ_2$. In \cite[Thm. 4.1]{lindner2018} it was shown that the class of quasi-infinitely divisible distributions on $\mathbb{R}$ is dense in the class of distributions on $\mathbb{R}$ with respect to weak convergence. In this paper, we show that the class of quasi-infinitely divisible distributions on $\mathbb{R}^d$ is not dense in the class of distributions on $\mathbb{R}^d…
An infinitely divisible distribution on $\mathbb{R}$ is a probability measure $μ$ such that the characteristic function $\hatμ$ has a Lévy-Khintchine representation with characteristic triplet $(a,γ, ν)$, where $ν$ is a Lévy measure, $γ\in\mathbb{R}$ and $a\ge 0$. A natural extension of such distributions are quasi-infinitely distributions. Instead of a Lévy measure, we assume that $ν$ is a "signed Lévy measure", for further information on the definition see [\ref{Lindner}]. We show that a distribution $μ=pδ_{x_0}+(1-p)μ_{ac}$ with $p>0$ and $x_0 \in \mathbb{R}$, where $μ_{ac}$ is the absolute…
In this article the relation between the tail behaviours of a free regular infinitely divisible (positively supported) probability measure and its Lévy measure is studied. An important example of such a measure is the compound free Poisson distribution, which often occurs as a limiting spectral distribution of certain sequences of random matrices. We also describe a connection between an analogous classical result of Embrechts et al. [1979] and our result using the Bercovici-Pata bijection.
This article provides the domain of existence $Ω$ of the Laplace transform of infinitely divisible negative multinomial distributions. We define a negative multinomial distribution on $\mathbb{N}^{n},$ where $\mathbb{N}$ is the set of nonnegative integers, by its probability generating function which will be of the form $\left( A\left( a_{1}z_{1} ,\ldots,a_{n}z_{n}\right) /A\left( a_{1},\ldots,a_{n}\right) \right) ^{-λ}$ where $A\left( \mathbf{z}\right) = {\displaystyle\sum\limits_{T\subset\left\{ 1,2,\ldots,n\right\} }} a_{T}\prod\limits_{i\in T}z_{i},$ where $a_{\emptyset}\neq0,$ and where $…
In this paper, we derive the bi-free analogue of the Lévy-Hinčin formula for compactly supported planar probability measures which are infinitely divisible with respect to the additive bi-free convolution introduced by Voiculescu. We also provide examples of bi-free infinitely divisible distributions with their bi-free Lévy-Hinčin representations. Furthermore, we construct the bi-free Lévy processes and the additive bi-free convolution semigroups generated by compactly supported planar probability measures.
To a higher Landau Level corresponds a generalization of the Poisson distribution arising from generalized coherent states. In this paper, we write down the atomic decomposition of this probability measure and expressed its weights through 2F2 hypergeometric polynomials. Then, we prove that it is not infinitely divisible in opposite to the Poisson distribution corresponding to the lowest Landau level. We also derive the Levy-Kintchine representation of its characteristic function when the latter does not vanish and deduce that the representative measure is signed. By considering the total vari…
We introduce and study the notion of k-divisible elements in a non-commutative probability space. A k-divisible element is a (non-commutative) random variable whose n-th moment vanishes whenever n is not a multiple of k. First, we consider the combinatorial convolution \ast in the lattices NC of non-crossing partitions and NC^k of k-divisible non-crossing partitions and show that convolving k times with the zeta-function in NC is equivalent to convolving once with the zeta-function in NC^k. Furthermore, when x is k-divisible, we derive a formula for the free cumulants of x^k in terms of the fr…
The paper deals with studying a connection of the Littlewood--Offord problem with estimating the concentration functions of some symmetric infinitely divisible distributions. It is shown that the values at zero of the concentration functions of weighted sums of i.i.d. random variables may be estimated by the values at zero of the concentration functions of symmetric infinitely divisible distributions with the Lévy spectral measures which are multiples of the sum of delta-measures at $\pm$weights involved in constructing the weighted sums.
We consider arbitrary discrete probability laws on the real line. We obtain a criterion of their belonging to a new class of quasi-infinitely divisible laws, which is a wide natural extension of the class of well known infinitely divisible laws through the Lévy type representations.
The concept of a Lévy subordinator is generalized to a family of non-decreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the Lévy subordinator special case, the considered family is always strongly infinitely divisible with respect to time, meaning that a path can be represented in distribution as a finite sum with arbitrarily many summands of independent and identically distributed paths of another process. Besides distributional properties of the process, we present two applications to…
We introduce a class of central symmetric infinitely divisible probability measures on compact Lie groups by lifting the characteristic exponent from the real line via the Casimir operator. The class includes Gauss, Laplace and stable-type measures. We find conditions for such a measure to have a smooth density and give examples. The Hunt semigroup and generator of convolution semigroups of measures are represented as pseudo-differential operators. For sufficiently regular convolution semigroups, the transition kernel has a tractable Fourier expansion and the density at the neutral element may…
We establish a one-to-one correspondence between (i) exchangeable sequences of random variables whose finite-dimensional distributions are minimum (or maximum) infinitely divisible and (ii) non-negative, non-decreasing, infinitely divisible stochastic processes. The exponent measure of an exchangeable minimum infinitely divisible sequence is shown to be the sum of a very simple ``drift measure'' and a mixture of product probability measures, which uniquely corresponds to the Lévy measure of a non-negative and non-decreasing infinitely divisible process. The latter is shown to be supported on n…
We consider smooth, infinitely divisible random fields $(X(t),t\in M)$, $M\subset {\mathbb{R}}^d$, with regularly varying Levy measure, and are interested in the geometric characteristics of the excursion sets \[A_u=\{t\in M:X(t)>u\}\] over high levels u. For a large class of such random fields, we compute the $u\to\infty$ asymptotic joint distribution of the numbers of critical points, of various types, of X in $A_u$, conditional on $A_u$ being nonempty. This allows us, for example, to obtain the asymptotic conditional distribution of the Euler characteristic of the excursion set. In a signif…
We consider the infinite divisibility of distributions of some well-known inverse subordinators. Using a tail probability bound, we establish that distributions of many of the inverse subordinators used in the literature are not infinitely divisible. We further show that the distribution of a renewal process time-changed by an inverse stable subordinator is not infinitely divisible, which in particular implies that the distribution of the fractional Poisson process is not infinitely divisible.
The Gaussian correlation inequality for multivariate zero-mean normal probabilities of symmetrical n-rectangles can be considered as an inequality for multivariate gamma distributions (in the sense of Krishnamoorthy and Parthasarathy [5]) with one degree of freedom. Its generalization to all integer degrees of freedom and sufficiently large non-integer "degrees of freedom" was recently proved in [10]. Here, this inequality is partly extended to smaller non-integer degrees of freedom and in particular - in a weaker form - to all infinitely divisible multivariate gamma distributions. A further m…
The paper examines the Fractional Fourier Transform (FRFT) based technique as a tool for obtaining probability density function and its derivatives, and mainly for fitting stochastic model with the fundamental probabilistic relationships of infinite divisibility. The probability density functions are computed and the distributional proprieties such as leptokurtosis, peakedness, and asymmetry are reviewed for Variance-Gamma (VG) model and Compound Poisson with Normal Compounding model. The first and second derivatives of probability density function of the VG model are also computed in order to…
It is known to be difficult to find out whether a certain multivariable function to be a characteristic function when its corresponding measure is not tirivial to be or not to be a probability measure on R^d. Such results were not obtained for a long while. In this paper, multidimensional polynomial Euler product is defined as a generalization of the polynomial Euler product. By applying the Kronecker's approximation theorem, a necessary and sufficient condition for some polynomial Euler products to generate characteristic functions is given. Furthermore, by using the Baker's theorem, that of …
We prove that symmetric Meixner distributions, whose probability densities are proportional to $|Γ(t+ix)|^2$, are freely infinitely divisible for $0<t\leq\frac{1}{2}$. The case $t=\frac{1}{2}$ corresponds to the law of Lévy's stochastic area whose probability density is $\frac{1}{\cosh(πx)}$. A logistic distribution, whose probability density is proportional to $\frac{1}{\cosh^2(πx)}$, is freely infinitely divisible too.
A probability distribution $μ$ on $\mathbb R ^d$ is selfdecomposable if its characteristic function $\widehatμ(z), z\in\mathbb R ^d$, satisfies that for any $b>1$, there exists an infinitely divisible distribution $ρ_b$ satisfying $\widehatμ(z) = \widehatμ(b^{-1}z)\widehatρ_b(z)$. This concept has been generalized to the concept of $α$-selfdecomposability by many authors in the following way. Let $α\in\mathbb R$. An infinitely divisible distribution $μ$ on $\mathbb R ^d$ is $α$-selfdecomposable, if for any $b>1$, there exists an infinitely divisible distribution $ρ_b$ satisfying $\widehatμ(z) …
A metric measure space is a complete separable metric space equipped with probability measure that has full support. Two such spaces are equivalent if they are isometric as metric spaces via an isometry that maps the probability measure on the first space to the probability measure on the second. The resulting set of equivalence classes can be metrized with the Gromov-Prohorov metric of Greven, Pfaffelhuber and Winter. We consider the natural binary operation $\boxplus$ on this space that takes two metric measure spaces and forms their Cartesian product equipped with the sum of the two metrics…
We consider discrete probability laws on the real line, whose characteristic functions are separated from zero. In particular, this class includes arbitrary discrete infinitely divisible laws and lattice probability laws, whose characteristic functions have no zeroes on the real line. We show that characteristic functions of such laws admit spectral Lévy--Khinchine type representations. We also apply the representations of such laws to obtain limit and compactness theorems with convergence in variation to probability laws from this class. Thus we generalize the corresponding results from the r…
The class of R-diagonal *-distributions is fairly well understood in free probability. In this class, we consider the concept of infinite divisibility with respect to the operation $\boxplus$ of free additive convolution. We exploit the relation between free probability and the parallel (and simpler) world of Boolean probability. It is natural to introduce the concept of an eta-diagonal distribution that is the Boolean counterpart of an R-diagonal distribution. We establish a number of properties of eta-diagonal distributions, then we examine the canonical bijection relating eta-diagonal distr…
It is known that the class $\mathcal{U}_β$, of generalized s-selfdecom-posable probability distributions, can be viewed as an image via random integral mapping $\mathcal{J}^β$ of the class $ID$ of all infinitely divisible measures. We prove that a composition of the mappings $\mathcal{J}^{β_1}, \mathcal{J}^{β_2}, ..., \mathcal{J}^{β_n}$ is again random integral mapping but with a new inner time. In a proof some form of Lagrange interpolation formula is needed. Moreover, some elementary formulas concerning the distributions of products of powers of independent uniformly distributed random varia…
In this paper, we characterize idempotent distributions with respect to the bi-free multiplicative convolution on the bi-torus. Also, the bi-free analogous Levy triplet of an infinitely divisible distribution on the bi-torus without non-trivial idempotent factors is obtained. This triplet is unique and generates a homomorphism from the bi-free multiplicative semigroup of infinitely divisible distributions to the classical one. The relevances of the limit theorems associated with four convolutions, classical and bi-free additive convolutions and classical and bi-free multiplicative convolutions…
Let $μ$ be a probability measure on the real line. In this paper we prove that there exists a decomposition $μ= μ_{0} \boxplus μ_{1} \boxplus \... \boxplus μ_{n} \boxplus \...$ such that $μ_{0}$ is infinitely divisible and $μ_{i}$ is indecomposable for $i \geq 1$. Additionally, we prove that the family of all $\boxplus$-divisors of a measure $μ$ is compact up to translation. Analogous results are also proven in the case of multiplicative convolution.
Consider a class of probability distributions which is dense in the space of all probability distributions on $\mathbb{R}^{d}$ with respect to weak convergence, for every $d\in\mathbb{N}$. Then, we construct various explicit classes of continuous (cádlág) processes which are dense in the space of all continuous (cádlág) processes with respect to convergence in distribution. This is motivated by the recent result that quasi-infinitely divisible (QID) distributions are dense when $d=1$. If this result is extended to any $d\in\mathbb{N}$, then our result will imply that QID processes are dense in…
Consider an exponential dispersion model (EDM) generated by a probability $ μ$ on $[0,\infty )$ which is infinitely divisible with an unbounded Lévy measure $ν$. The Jorgensen set (i.e., the dispersion parameter space) is then $\mathbb{R}^{+}$, in which case the EDM is characterized by two parameters: $θ_{0}$ the natural parameter of the associated natural exponential family and the Jorgensen (or dispersion) parameter $t$. Denote by $EDM(θ_{0},t)$ the corresponding distribution and let $Y_{t}$ is a r.v. with distribution $EDM(θ_0,t)$. Then if $ν((x,\infty ))\sim -\ell \log x$ around zero we pr…
We derive a stochastic representation for the probability distribution on the positive orthant $(0,\infty)^d$ whose association between components is minimal among all probability laws with $\ell_p$-norm symmetric survival functions. It is given by a transformation of a uniform distribution on the standard unit simplex that is multiplied with an independent finite mixture of certain beta distributions and an additional atom at unity. On the one hand, this implies an efficient simulation algorithm for arbitrary probability laws with $\ell_p$-norm symmetric survival function. On the other hand, …
In this paper, we continue Voiculescu's recent work on the analogous extreme value theory in the context of bi-free probability theory. We derive various equivalent conditions for a bivariate distribution function to be bi-freely max-infinitely divisible. A bi-freely max-infinitely divisible distribution function can be expressed in terms of its marginals and a special form of copulas. Such a distribution function is shown to be also max-infinitely divisible in the classical sense. In addition, we characterize the set of bi-free extreme value distribution functions. A distribution function of …
The class of Riemann zeta distribution is one of the classical classes of probability distributions on R. Multidimensional Shintani zeta function is introduced and its definable probability distributions on R^d are studied. This class contains some fundamental probability distributions such as binomial and Poisson distributions. The relation with multidimensional polynomial Euler product, which induces multidimensional infinitely divisible distributions on R^d, is also studied.
Using an approach based, amongst other things, on Proposition 1 of Kaluza (1928), Goldie (1967) and, using a different approach based especially on zeros of polynomials, Steutel (1967) have proved that each nondegenerate distribution function (d.f.) $F$ (on $\RR$, the real line), satisfying $F(0-) = 0$ and $F(x) = F(0) + (1-F(0)) G(x)$, $x > 0$, where $G$ is the d.f. corresponding to a mixture of exponential distributions, is infinitely divisible. Indeed, Proposition 1 of Kaluza (1928) implies that any nondegenerate discrete probability distribution ${p_x: x= 0,1, ...}$ that is log-convex or, …
We introduce a new type of convergence in probability theory, which we call ``mod-Gaussian convergence''. It is directly inspired by theorems and conjectures, in random matrix theory and number theory, concerning moments of values of characteristic polynomials or zeta functions. We study this type of convergence in detail in the framework of infinitely divisible distributions, and exhibit some unconditional occurrences in number theory, in particular for families of $L$-functions over function fields in the Katz-Sarnak framework. A similar phenomenon of ``mod-Poisson convergence'' turns out to…
We study a two-parameter family $a_{n}(p,t)$ of deformations of the Fuss numbers. We show a sufficient condition for positive definiteness of $a_n(p,t)$ and prove that some of the corresponding probability measures are infinitely divisible with respect to the additive free convolution.
A probability distribution is n-divisible if its nth convolution root exists. While modeling the dependence structure between several (re)insurance losses by an additive risk factor model, the infinite divisibility, that is the $n$-divisibility for all $n \in\mathbb N$, is a very desirable property. Moreover, the capacity to compute the distribution of a piece (i.e., a convolution root) is also desirable. Unfortunately, if many useful distributions are infinitely divisible, computing the distributions of their pieces is usually a challenging task that requires heavy numerical computations. How…
It is known that any open necklace with beads of $t$ types in which the number of beads of each type is divisible by $k$, can be partitioned by at most $(k-1)t$ cuts into intervals that can be distributed into $k$ collections, each containing the same number of beads of each type. This is tight for all values of $k$ and $t$. Here, we consider the case of random necklaces, where the number of beads of each type is $km$. Then the minimum number of cuts required for a ``fair'' partition with the above property is a random variable $X(k,t,m)$. We prove that for fixed $k,t,$ and large $m$, this ran…
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…
