Aarhus University Seal / Aarhus Universitets segl

Regularizing mappings of Lévy measures

Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avisTidsskriftartikelForskningpeer review

  • Institut for Matematiske Fag
In this paper we introduce and study a regularizing one-to-one mapping from the class of one-dimensional Lévy measures into itself. This mapping appeared implicitly in our previous paper [O.E. Barndorff-Nielsen, S. Thorbjørnsen, A connection between free and classical infinite divisibility, Inf. Dim. Anal. Quant. Probab. 7 (2004) 573–590], where we introduced a one-to-one mapping from the class of one-dimensional infinitely divisible probability measures into itself. Based on the investigation of in the present paper, we deduce further properties of . In particular it is proved that maps the class of selfdecomposable laws onto the so called Thorin class . Further, partly motivated by our previous studies of infinite divisibility in free probability, we introduce a one-parameter family of one-to-one mappings , which interpolates smoothly between (α=0) and the identity mapping on (α=1). We prove that each of the mappings shares many of the properties of . In particular, they are representable in terms of stochastic integrals with respect to associated Levy processes.
TidsskriftStochastic Processes and Their Applications
Sider (fra-til)423-446
Antal sider24
StatusUdgivet - 2006

Se relationer på Aarhus Universitet Citationsformater

ID: 3736246