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Matrix subordinators and related Upsilon transformations

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  • Institut for Matematiske Fag
A class of upsilon transformations of Lévy measures for matrix subordinators is introduced. Some regularizing properties of these transformations are derived, such as absolute continuity and complete monotonicity. The class of Lévy measures with completely monotone matrix densities is characterized. Examples of infinitely divisible nonnegative definite random matrices are constructed using an upsilon transformation.
OriginalsprogEngelsk
TidsskriftTheory of Probability and Its Applications
Vol/bind52
Nummer1
Sider (fra-til)1-23
Antal sider23
ISSN0040-585X
DOI
StatusUdgivet - 2008

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