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arxiv: 0811.3752 · v1 · pith:B6UXPWV2new · submitted 2008-11-23 · 🧮 math.PR

A calculus on L\'evy exponents and selfdecomposability on Banach spaces

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keywords exponentsmeasurebanachcalculusemphprobabilityselfdecomposablespaces
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In infinite dimensional Banach spaces there is no complete characterization of the L\'evy exponents of infinitely divisible probability measures. Here we propose \emph{a calculus on L\'evy exponents} that is derived from some random integrals. As a consequence we prove that \emph{each} selfdecomposable measure can by factorized as another selfdecomposable measure and its background driving measure that is s-selfdecomposable. This complements a result from the paper of Iksanov-Jurek-Schreiber in the Annals of Probability \textbf{32}, 2004.}

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