×

A two-parameter extension of Urbanik’s product convolution semigroup. (English) Zbl 1447.60044

Summary: We prove thats \(n(a, b) = \Gamma (an + b)/\Gamma(b), n = 0, 1,\ldots\), is an infinitely divisible Stieltjes moment sequence for arbitrary \(a, b > 0\). Its powers \(s_n(a,b)^c, c > 0\), are Stieltjes determinate if and only if \(ac \leqslant 2\). The latter was conjectured in a paper by Lin (2019) in the case \(b =1\). We describe a product convolution semigroup \(\tau_c(a, b), c > 0\) of probability measures on the positive half-line with densities \(e_c(a, b)\) and having the moments \(s_n(a,b)^c\). We determine the asymptotic behavior of \(e_c(a, b)(t)\) for \(t \to 0\) and for \(t \to \infty\), and the latter implies the Stieltjes indeterminacy when \(ac > 2\). The results extend the previous work of the author and and J. L. López [J. Approx. Theory 195, 109–121 (2015; Zbl 1317.30058)] and lead to a convolution semigroup of probability densities \((g_c(a,b)(x))_{c>0}\) on the real line. The special case \((g_c(a,1)(x))_{c<0}\) are the convolution roots of the Gumbel distribution with scale parameter \(a > 0\). All the densities \(g_c(a,b)(x)\) lead to determinate Hamburger moment problems.

MSC:

60E07 Infinitely divisible distributions; stable distributions
60B15 Probability measures on groups or semigroups, Fourier transforms, factorization
44A60 Moment problems

Citations:

Zbl 1317.30058

References:

[1] R. A. Askey and R. Roy, Chapter 5: Gamma Function, in: NIST Handbookof Mathematical Functions, NIST and Cambridge University Press, 2010. · Zbl 1198.00002
[2] C. Berg, On the preservation of determinacy under convolution, Proc. Amer. Math. Soc. 93 (2) (1985), pp. 351-357. · Zbl 0529.60009
[3] C. Berg, On infinitely divisible solutions to indeterminate moment problems, in: Proceedings of the International Workshop “Special Functions”, Hong Kong,June 21-25, 1999, C. F. Dunkl, M. Ismail, and R. Wong (Eds.), World Scientific, Singapore 2000, pp. 31-41. · Zbl 1161.44306
[4] C. Berg, On powers of Stieltjes moment sequences. I, J. Theoret. Probab. 18 (4) (2005), pp. 871-889. · Zbl 1086.44003
[5] C. Berg, On powers of Stieltjes moment sequences. II, J. Comput. Appl. Math. 199 (1) (2007), pp. 23-38. · Zbl 1111.44001
[6] C. Berg and G. Forst, Potential Theory on Locally Compact Abelian Groups, Ergeb. Math. Grenzgeb., Band 87, Springer, New York-Heidelberg 1975. · Zbl 0308.31001
[7] C. Berg and J. L. López, Asymptotic behaviour of the Urbanik semigroup, J. Approx. Theory 195 (2015), pp. 109-121. · Zbl 1317.30058
[8] I. S. Gradshteyn and I. M. Ryzhik, Table of Integrals, Series, and Products, D. Zwillinger (Ed.), eighth edition, Elsevier and Academic Press, Amsterdam 2015. · Zbl 0918.65002
[9] P. Hörfelt, The moment problem for some Wiener functionals: Corrections toprevious proofs, J. Appl. Probab. 42 (3) (2005), pp. 851-860. · Zbl 1138.60335
[10] Z. J. Jurek, On relations between Urbanik and Mehler semigroups, Probab. Math. Statist. 29 (2) (2009), pp. 297-308. · Zbl 1201.60007
[11] G. D. Lin, On powers of the Catalan number sequence, Discrete Math. 342 (7) (2019), pp. 2139-2147. · Zbl 1437.05017
[12] G. D. Lin and J. Stoyanov, Moment determinacy of powers and products ofnonnegative random variables, J. Theoret. Probab. 28 (4) (2015), pp. 1337-1353. · Zbl 1358.60030
[13] J. L. López, P. Pagola, and E. Pérez Sinusía, A systematization of the saddlepoint method: Application to the Airy and Hankel functions, J. Math. Anal. Appl. 354 (1) (2009), pp. 347-359. · Zbl 1163.65013
[14] F. W. J. Olver and L. C. Maximon, Chapter 10: Bessel Functions, in: NISTHandbook of Mathematical Functions, NIST and Cambridge University Press, 2010. · Zbl 1198.00002
[15] H. L. Pedersen, On Krein’s theorem for indeterminacy of the classical momentproblem, J. Approx. Theory 95 (1) (1998), pp. 90-100. · Zbl 0924.44009
[16] R. L. Schilling, R. Song, and Z. Vondraek, Bernstein Functions: Theoryand Applications, second edition, Walter de Gruyter & Co., Berlin 2012. · Zbl 1257.33001
[17] J. A. Shohat and J. D. Tamarkin, The Problem of Moments, American Mathematical Society, New York 1943. · Zbl 0063.06973
[18] A. V. Skorokhod, Asymptotic formulas for stable distribution laws, Dokl. Akad. Nauk SSSR (N.S.) 98 (1954), pp. 731-734. · Zbl 0057.11106
[19] T.-J. Stieltjes, Recherches sur les fractions continues, Ann. Fac. Sci. Toulouse, Math., Sér. 1, 8 (4) (1894), pp. J1-J122. · JFM 25.0326.01
[20] M. L. Targhetta, On a family of indeterminate distributions, J. Math. Anal. Appl. 147 (2) (1990), pp. 477-479. · Zbl 0701.62023
[21] Shu-gwei Tyan, The structure of bivariate distribution functions and theirrelation to Markov processes, Ph.D. Thesis, Princeton University, 1975.
[22] K. Urbanik, Functionals on transient stochastic processes with independentincrements, Studia Math. 103 (3) (1992), pp. 299-315. · Zbl 0809.60068
[23] V. M. Zolotarev, One-dimensional Stable Distributions, American Mathematical Society, Providence, RI, 1986. · Zbl 0589.60015
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.