Transformations of infinitely divisible distributions via improper stochastic integrals

2007/07/04 by Ken‐iti Sato, Sato, Ken-iti
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60E07 #60G51 #60H05 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #advanced mathematical theories

paper · pdf · doi:10.48550/arxiv.0707.0538

openalex publication_date 2007/07/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Let X^(μ)(ds) be an ℝ^d-valued homogeneous independently scattered random measure over ℝ having μ as the distribution of X^(μ)((t,t+1]). Let f(s) be a nonrandom measurable function on an open interval (a,b) where -∞\leqslant a<b></b>

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