Some criteria of rational-infinite divisibility for probability laws

We study the class Q of distribution functions F that have the property of rational-infinite divisibility: there exist some infinitely divisible distribution functions F1 and F2 such that F1=F∗F2. The class Q is a wide natural extension of the fundamental class of infinitely divisible distribution functions. We are interested in general conditions to belong to the class Q in terms of characteristic functions. We obtain criteria that seem to be convenient for the application for some cases, and we illustrate it by several examples in the paper.

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Publication Details

Journal
Electronic Journal of Probability
Published
2025-01-01
DOI
https://doi.org/10.1214/25-ejp1368
Citations
2
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
4.42
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article

Some criteria of rational-infinite divisibility for probability laws

A. A. Khartov
2 citations
Electronic Journal of Probability
Stochastic processes and financial applications
4.42
article

Some criteria of rational-infinite divisibility for probability laws

A. A. Khartov
article en
2 citations

Abstract

We study the class Q of distribution functions F that have the property of rational-infinite divisibility: there exist some infinitely divisible distribution functions F1 and F2 such that F1=F∗F2. The class Q is a wide natural extension of the fundamental class of infinitely divisible distribution functions. We are interested in general conditions to belong to the class Q in terms of characteristic functions. We obtain criteria that seem to be convenient for the application for some cases, and we illustrate it by several examples in the paper.

Electronic Journal of ProbabilityVol. 30(none)
Institute for Information Transmission Problems (RU)
Reduced inequalities
Openalex Percentile: Top 6%
Stochastic processes and financial applications
4.42
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