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.
Originalsprog Engelsk Theory of Probability and Its Applications 52 1 1-23 23 0040-585X https://doi.org/10.1137/S0040585X97982839 Udgivet - 2008

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