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arxiv: 1009.3544 · v1 · pith:IQCEB6YKnew · submitted 2010-09-18 · 🧮 math.PR

Generalized L/'evy Stochastic Areas and Selfdecomposability

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keywords characteristicstochasticareasclassdistributionfunctionfunctionsgeneralized
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We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function. This provides a stochastic interpretation for a ratio of some Bessel functions as well as examples of characteristic functions from van Dantzig class.

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