On the law of homogeneous stable functionals

Letemplier, Julien; Simon, Thomas

ESAIM: Probability and Statistics, Tome 23 (2019), pp. 82-111.

Suite au passage du modèle économique de la revue en S20, le texte intégral des articles des années 2019 et 2020 est accessible uniquement sur le site de l'éditeur et est réservé aux abonnés.

Let $$ be the $$-functional of a stable Lévy process starting from one and killed when crossing zero. We observe that $$ can be represented as the independent quotient of two infinite products of renormalized Beta random variables. The proof relies on Markovian time change, the Lamperti transformation, and an explicit computation performed in [38] on perpetuities of hypergeometric Lévy processes. This representation allows us to retrieve several factorizations previously shown by various authors, and also to derive new ones. We emphasize the connections between $$ and more standard positive random variables. We also investigate the law of Riemannian integrals of stable subordinators. Finally, we derive several distributional properties of $$ related to infinite divisibility, self-decomposability, and the generalized Gamma convolution.

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