Paper detail

Inversions of infinitely divisible distributions and conjugates of stochastic integral mappings

The dual of an infinitely divisible distribution on $\mathbb{R}^d$ without Gaussian part defined in Sato, ALEA {\bf 3} (2007), 67--110, is renamed to the inversion. Properties and characterization of the inversion are given. A stochastic integral mapping is a mapping $μ=Φ_{f}ρ$ of $ρ$ to $μ$ in the class of infinitely divisible distributions on $\mathbb{R}^d$, where $μ$ is the distribution of an improper stochastic integral of a nonrandom function $f$ with respect to a Lévy process on $\mathbb{R}^d$ with distribution $ρ$ at time 1. The concept of the conjugate is introduced for a class of stochastic integral mappings and its close connection with the inversion is shown. The domains and ranges of the conjugates of three two-parameter families of stochastic integral mappings are described. Applications to the study of the limits of the ranges of iterations of stochastic integral mappings are made.