Patie, Pierre 
ORCID: 0000-0003-4221-0439 and Vaidyanathan, Aditya
(2018)
The log-Lévy moment problem via Berg-Urbanik semigroups.
no., 3 (3).
pp. 219-257.
|
Text
log-Levy.pdf - Author Accepted Manuscript Download (558kB) | Preview |
Abstract
We consider the Stieltjes moment problem for the Berg-Urbanik semigroups which form a class of multiplicative convolution semigroups on $\mathbb{R}_+$ that is in bijection with the set of Bernstein functions. Berg and Dur\'an proved that the law of such semigroups is moment determinate (at least) up to time $t=2$, and, for the Bernstein function $\phi(u)=u$, Berg made the striking observation that for time $t>2$ the law of this semigroup is moment indeterminate. We extend these works by estimating the threshold time $\scr{T}_\phi \in [2,\infty]$ that it takes for the law of such Berg-Urbanik semigroups to transition from moment determinacy to moment indeterminacy in terms of simple properties of the underlying Bernstein function $\phi$, such as its Blumenthal-Getoor index. One of the several strategies we implement to deal with the different cases relies on a non-classical Abelian type criterion for the moment problem, recently proved by the authors. To implement this approach we provide detailed information regarding distributional properties of the semigroup such as existence and smoothness of a density, and, the large asymptotic behavior for all $t > 0$ of this density along with its successive derivatives. In particular, these results, which are original in the L\'evy processes literature, may be of independent interests.
| Item Type: | Article |
|---|---|
| Additional Information: | Studia Mathematica |
| Uncontrolled Keywords: | math.PR, math.PR, math.CA, 44A60, 60E05, 60B15 |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 01 May 2020 10:13 |
| Last Modified: | 18 Jan 2023 23:54 |
| DOI: | 10.4064/sm181001-4-5 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3084207 |
Dimensions
Dimensions
