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Probability Theory: A Comprehensive Course

Achim Klenke

Chapter 16

Infinitely Divisible Distributions - all with Video Answers

Educators


Section 1

Lévy-Khinchin Formula

04:48

Problem 1

Use a variance argument to show that an infinitely divisible distribution that is concentrated on a bounded interval is a Dirac measure.

Abhirup Pal
Abhirup Pal
Numerade Educator
02:22

Problem 2

Let $\varphi$ be infinitely divisible, and for every $n \in \mathbb{N}$, let $\varphi_{n}$ be a CFP with $\varphi_{n}^{n}=\varphi$. Use Lévy's continuity theorem to show that $\varphi_{n} \stackrel{n \rightarrow \infty}{\longrightarrow} 1$ uniformly on compact sets $\varphi_{n} \stackrel{n \rightarrow \infty}{\longrightarrow} 1$. Conclude that $\varphi(t) \neq 0$ for all $t \in \mathbb{R}$.

Anurag Kumar
Anurag Kumar
Numerade Educator
01:08

Problem 3

Under the conditions of Theorem 16.14, show that
$$
\alpha=\sup \{x \geq 0: \mu([0, x))=0\}.
$$

Carson Merrill
Carson Merrill
Numerade Educator