Generalized L/'evy Stochastic Areas and Selfdecomposability
classification
🧮 math.PR
keywords
characteristicstochasticareasclassdistributionfunctionfunctionsgeneralized
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We show that a conditional characteristic function of generalized L\'evy stochastic areas can be viewed as a product a selfdecomposable distribution (i.e., L\'evy class L distribution) and its background driving characteristic function. This provides a stochastic interpretation for a ratio of some Bessel functions as well as examples of characteristic functions from van Dantzig class.
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