Original article at: http://www.math.washington.edu/~ejpecp/ECP/viewarticle.php?id=2209

Compositions of mappings of infinitely divisible distributions with applications to finding the limits of some nested subclasses

Makoto Maejima, Keio University
Yohei Ueda, Keio University

Abstract

Let {Xt(μ),t≥ 0} be a Lévy process on Rd whose distribution at time 1 is μ, and let f be a nonrandom measurable function on (0, a), 0<a≤ ∞. Then we can define a mapping Φf(μ) by the law of ∫0af(t)dXt(μ), from D(Φf) which is the totality of μ∈ I(Rd) such that the stochastic integral ∫0af(t)dXt(μ) is definable, into a class of infinitely divisible distributions. For mN, let Φfm be the m times composition of Φf itself. Maejima and Sato (2009) proved that the limits ∩m=1Φfm(D(Φfm)) are the same for several known f's. Maejima and Nakahara (2009) introduced more general f's. In this paper, the limits ∩m=1Φfm(D(Φfm)) for such general f's are investigated by using the idea of compositions of suitable mappings of infinitely divisible distributions.

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Original article at: http://www.math.washington.edu/~ejpecp/ECP/viewarticle.php?id=2209