Invariant measures under random integral mappings and marginal distributions of fractional Lévy processes

It is shown that some convolution semigroups of infinitely divisible measures are invariant under certain random integral mappings. We characterize the coincidence of random integrals for s-selfdecomposable and selfdecomposable distributions. Some applications are given to the moving average fractional Lévy process (MAFLP).

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Year of publication:	2013
Authors:	Jurek, Zbigniew J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 177-183
Publisher:	Elsevier
Subject:	Lévy process \| Random integral representation \| Class U distributions or generalized s-selfdecomposable distributions \| Class L distributions or selfdecomposable distributions \| Moving average fractional Lévy process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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