2018•arXiv (Cornell University)Open access

On Infinite Divisibility of the Distribution of Some Inverse Subordinators

Arun Kumar, Erkan Nane

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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.

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Available 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.

Key concepts: Infinite divisibility, Subordinator, Inverse, Mathematics, Divisibility rule, Compound Poisson distribution, Poisson distribution, Distribution (mathematics)

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