On Infinite Divisibility of the Distribution of Some Inverse Subordinators
Arun Kumar, Erkan Nane
Abstract
Arun Kumar, Erkan Nane
Abstract
We consider the infinite divisibility of the distributions of some well known inverse subordinators. Using a tail probability bound, we establish that the distributions of many of the inverse subordinators used in the literature are not infinitely divisible. We further show that the distribution of a renewal process time-changed by an inverse stable subordinator is not infinitely divisible, which in particular implies that the distribution of fractional Poisson process is not infinitely divisible.
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We consider the infinite divisibility of the distributions of some well known inverse subordinators. Using a tail probability bound, we establish that the distributions of many of the inverse subordinators used in the literature are not infinitely divisible. We further show that the distribution of a renewal process time-changed by an inverse stable subordinator is not infinitely divisible, which in particular implies that the distribution of fractional Poisson process is not infinitely divisible.
Key concepts: Infinite divisibility, Subordinator, Inverse, Mathematics, Divisibility rule, Compound Poisson distribution, Poisson distribution, Distribution (mathematics)