A two-parameter extension of Urbanik’s product convolution semigroup

We prove that sna, b = Γan + b/Γb, n = 0, 1, . . ., is an infinitely divisible Stieltjes moment sequence for arbitrary a, b > 0. Its powers sna, bc, c > 0, are Stieltjes determinate if and only if ac ≤ 2. The latter was conjectured in a paper by Lin 2019 in the case b = 1. We describe a product convolution semigroup τca, b, c > 0, of probability measures on the positive half-line with densities eca, b and having the moments sna, bc. We determine the asymptotic behavior of eca, bt for t → 0 and for t → ∞, and the latter implies the Stieltjes indeterminacy when ac > 2. The results extend the previous work of the author and Lopez 2015 and lead to a convolution semigroup of probability densities gca, bxc>0 on the real line. The special case gca, 1xc>0 are the convolution roots of the Gumbel distribution with scale parameter a > 0. All the densities gca, bx lead to determinate Hamburger moment problems.

Construction of Levi processes on path spaces of Lie groups

Given a compact Lie group and a conjugate-invariant Levi process on it, generated by the operator [Formula: see text], we construct the Levi process on the path space of [Formula: see text], associated with the convolution semigroup [Formula: see text] of probability measures, where [Formula: see text] is the distribution of the Levi process on [Formula: see text] generated by [Formula: see text]. The constructed process is obtained as the weak limit of piecewise constant paths, which, as well as proving its existence and properties, provides finite-dimensional approximations of Chernoff type to the integrals with respect to its distribution.

Equivalent weights and standard homomorphisms for convolution algebras on ℝ+

We take a second look at two basic topics in the study of weighted convolution algebras L1(ω) on ℝ+. An early result showed that one could replace the weight $\omega$ with a very well-behaved weight without changing the space L1(ω) as long as L1(ω) was an algebraffi We prove the analogous result for measure algebras when M(ω) is an algebraffi This allows us to preserve not only the norm topology but also the relative weak* topology on L1(ω). A homomorphism between weighted convolution algebras is said to be standard if it preserves generators of dense principal ideals. The original proofs of standardness and its variants are all based on finding the generator of a particular strongly continuous convolution semigroup. In this paper we give much simpler direct proofs of these results. We also improve the statement and proof of the theorem, giving useful properties equivalent to the standardness of a homomorphism.

A Family of Non-Gaussian Martingales with Gaussian Marginals

We construct a family of martingales with Gaussian marginal distributions. We give a weak construction as Markov, inhomogeneous in time processes, and compute their infinitesimal generators. We give the predictable quadratic variation and show that the paths are not continuous. The construction uses distributions Gσ having a log-convolution semigroup property. Further, we categorize these processes as belonging to one of two classes, one of which is made up of piecewise deterministic pure jump processes. This class includes the case where Gσ is an inverse log-Poisson distribution. The processes in the second class include the case where Gσ is an inverse log-gamma distribution. The richness of the family has the potential to allow for the imposition of specifications other than the marginal distributions.

Some regularity estimates for convolution semigroups on a group of polynomial growth

We study a convolution semigroup satisfying Gaussian estimates on a group G of polynomial volume growth. If Q is a subgroup satisfying a certain geometric condition, we obtain high order regularity estimates for the semigroup in the direction of Q. Applications to heat kernels and convolution powers are given.