Subexponential Densities of Infinitely Divisible Distributions on the Half-Line

. We show that, under the long-tailedness of the densities of normalized Lévy measures, the densities of infinitely divisible distributions on the half-line are subexponential if and only if the densities of their normalized Lévy measures are subexponential. Moreover, we prove that, under a certain...

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Veröffentlicht in:Lithuanian mathematical journal 2020-10, Vol.60 (4), p.530-543
1. Verfasser: Watanabe, Toshiro
Format: Artikel
Sprache:eng
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Zusammenfassung:. We show that, under the long-tailedness of the densities of normalized Lévy measures, the densities of infinitely divisible distributions on the half-line are subexponential if and only if the densities of their normalized Lévy measures are subexponential. Moreover, we prove that, under a certain continuity assumption, the densities of infinitely divisible distributions on the half-line are subexponential if and only if their normalized Lévy measures are locally subexponential.
ISSN:0363-1672
1573-8825
DOI:10.1007/s10986-020-09495-5