Questions tagged [infinite-divisibility]

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3
votes
1answer
243 views

Can we show that the characteristic function of an infinitely divisible probability measure has no zeros

Let $E$ be a normed $\mathbb R$-vector space, $\mu$ be a probability measure on $\mathcal B(E)$ and $\varphi_\mu$ denote the characteristic function$^1$ of $\mu$. Assume $\mu$ is infinitely divisible, ...
0
votes
1answer
81 views

How can we show this estimate for the convolution of two probability measures?

Let $(\delta_k)_{k\in\mathbb N}\subseteq(0,\infty)$ be nonincreasing with $\delta_k\xrightarrow{k\to\infty}0$ and $(\varepsilon_k)_{k\in\mathbb N}\subseteq(0,\infty)$ with $\sum_{k\in\mathbb N}\...
0
votes
2answers
119 views

Characterization of the generator of a Lévy process using martingale problems

Let $(X_t)_{t\ge0}$ be a real-valued Lévy process. Note that $$\mu_t:=\mathcal L(X_t)\;\;\;\text{for }t\ge0$$ is a continuous convolution semigroup$^1$. Let $$\tau_x:\mathbb R\to\mathbb R\;,\;\;\;y\...
1
vote
1answer
119 views

Is this statement of the Lévy–Khintchine formula ill-posed?

Please take a look at the following statement of the Lévy–Khintchine formula given in Probability Theory: A Comprehensive Course (2nd edition)$^1$: Am I missing something or is this an ill-posed ...
1
vote
1answer
79 views

Existence of unique convolution semigroups of probability measures on more general spaces then $\mathbb R^d$

Let $E$ be a $\mathbb R$-Banach space, $\mathcal M_1(E)$ (resp. $\mathcal M_1^\infty(E)$) denote the set of probability measures (resp. infinitely divisible probability measures) on $E$, $\varphi_\mu$ ...
0
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0answers
63 views

Define the convolution root of probability measures on a measurable group

Let $(G,\mathcal G)$ be a measurable group and $\nu^{\ast k}$ denote the $k$th convolution power of a probability measure $\nu$ on $(G,\mathcal G)$ for $k\in\mathbb N$. Remember that a probability ...
0
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2answers
214 views

If $\mu$ is an infinitely divisible probability measure on $[0,\infty)$, then the Lévy measure of $\mu$ is the vague limit of $n\mu^{*1/n}$

If $\nu$ is a finite measure on $(\mathbb R,\mathcal B(\mathbb R))$, let $\nu^{\ast k}$ denote the $k$-fold convolution¹ of $\nu$ with itself for $k\in\mathbb N_0$, $$\exp(\nu)\mathrel{:=}\sum_{k=0}^\...
2
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0answers
86 views

Infinite divisiblity of log-normals

What is the law of a piece of a log-normal distribution? We know that log-normals are infinitely divisible. What would be the law of a root of log-normal? More specifically, suppose that $X$ is a ...
2
votes
1answer
256 views

Questions about Levy measure in the canonical representation of infinitely divisible distributions

Let $X$ be a random variable with infinitely divisible and symmetric distribution $F$ distributed on $\mathbb{R}$. It is well known that the characteristic function of $X$ has a canonical ...
3
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0answers
220 views

Any counter example for this: ${\phi(2^n-1)} \bmod \tau(2^n-1)=0$ for every integer $n \geq 1$? [closed]

I asked this question here In S.E but i don't received any resposnes for it, I would like to know if it is appropriate for M.O. I'm always interesting for properties of the following series : $ \...
3
votes
0answers
86 views

Boudedness of linear operator between generalized Orlicz spaces

I am using the notations, definitions, and results of the Section X of [1] on generalized Orlicz spaces. We say that $\varphi : \mathbb{R} \rightarrow \mathbb{R}^+$ is a $\varphi$-function if it is ...
3
votes
1answer
113 views

Uncountable divisible groups and the existence of order-preserving isomorphisms of their subsets

Let $(G,+,0,<)$ be an ordered divisible group of uncountable dimension. Consider the subset $G^{<0}$ of $G$. Question: Are $G$ and $G^{<0}$ isomorphic as ordered sets? Does there exist an ...
1
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2answers
754 views

divisibility of uniform distribution [closed]

Let $X$ and $Y$ be independent and identically distributed random variables. Can $X+Y$ be a uniform distribution? (Please prove.) In other words, is a uniform distribution divisible? The meaning of "...
7
votes
1answer
771 views

Is $n=6$ the only integer satisfies ${\sigma}_x(n) \equiv 0\bmod{n}$ for every odd integer $x > 0$ and $2 (\bmod n)$ if $x$ is even integer? [closed]

After a few computations in wolfram alpha about the divisor function for some values of $n$ to look the behavior of $\sigma_x(n)\bmod n$ for $\,n=6,\,$ i got this result : $\sigma_x(6)=0 \bmod 6$ for $...
2
votes
0answers
273 views

What is the Blumenthal-Getoor index of Student's distributions?

For infinitely divisible random variables, Blumenthal and Getoor introduced in [1] an index that allow to study for instance the local Hölder regularity of Lévy processes. For a symmetric infinitely ...