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arxiv: 1309.7801 · v1 · pith:W4TEQPIOnew · submitted 2013-09-30 · 🧮 math.ST · stat.TH

On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator

classification 🧮 math.ST stat.TH
keywords resultssubordinatorassociatedmellinperpetuityprobabremaindertransforms
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Results about the laws of the perpetuity and remainder variables associated to a subordinator are presented, with particular emphasis on their Mellin transforms, and multiplicative infinite divisibility property. Previous results by Bertoin-Yor (Electron. Commun. Probab. 6 (2001) 95-106) are incorporated in our discussion; important examples when the subordinator is the inverse local time of a diffusion are exhibited. Results of Urbanik (Probab. Math. Statist. 15 (1995) 493-513) are also discussed in detail; they appear to be too little known, despite the fact that quite a few of them have priority upon other works in this area.

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