Shot noise distributions and selfdecomposability

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Stationary (limiting) distributions of shot noise processes, with exponential response functions, form a large subclass of positive selfdecomposable distributions that we illustrate by many examples. These shot noise distributions are described among selfdecomposable ones via the regular variation at zero of their distribution functions. However, slow variation at the origin of (an absolutely continuous) distribution function is incompatible with selfdecomposability and this is shown in three examples.
14 pages, accepted for publication

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Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/62579

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0111069
 http://arxiv.org/abs/math/0111069

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arXiv