A note on new classes of infinitely divisible distributions on Rd
Makoto Maejima, Keio University
Genta Nakahara, Keio University
Abstract
This paper introduces and studies a family of new classes
of infinitely divisible distributions on Rd with two parameters.
Depending on parameters, these classes connect
the Goldie-Steutel-Bondesson class
and the class of generalized type G distributions,
connect the Thorin class and the class M,
connect the class M and the class of generalized type G distributions.
These classes are characterized by stochastic integral representations with
respect to Lévy processes.
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