Levy Khinchine formula for Gamma distribution












1














I am searching for the Levy-Khinchin formula for the Gamma distribution $Gamma(lambda, beta)$. My attempt is following:



For the characteristic function I get



$$varphi_{Gamma(lambda,beta)}(t)=Big(frac{beta}{beta -it}Big)^lambda$$
Therefore



$$[varphi_{Gamma(frac{lambda}{n},beta)}(t)]^n=Big[Big(frac{beta}{beta -it}Big)^frac{lambda}{n}Big]^n=varphi_{Gamma(lambda,beta)}(t)$$



and the gamma distribution in infinitely divisible. Now the idea is to find a triplet $(b,sigma,nu)$ for the Levy-Khinchine formula. I have a hint to use $nu$ which has a density regarding to the lebesgue measure as follows



$$frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x)$$



So the Levy Kinchin formula is the following:



$$psi(t)=itb-frac{t^2sigma^2}{2}+int_{mathbb{R}}Big(e^{itx}-1-itxcdot1_{{|x|<1}}(x)Big)frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x) dx$$



Now I take derivates of $logcircvarphi_{Gamma(lambda,beta)}$ and $psi$ to find $b$:



$$psi'(t)=ib-tsigma^2+frac{lambda i}{beta-it}+lambda iBig(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$$



$$(logcircvarphi_{Gamma(lambda,beta)})'(t)=frac{lambda i}{beta-it}$$



So I take $sigma=0$ and $b=-lambda Big(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$ to get $psi'(t)=(logcircvarphi_{Gamma(lambda,beta)})'(t)$. We also have $psi(0)=varphi_{Gamma(lambda,beta)}(0)=0.$



Now I get



begin{align} varphi_{Gamma(lambda,beta)}(t)&=exp(log(varphi_{Gamma(lambda,beta)}(t)))\
&=exp(log(varphi_{Gamma(lambda,beta)}(t)-log(varphi_{Gamma(lambda,beta)}(0)))\
&=exp(int_0^t psi'(s)ds)text{, what we just calculated}\
&=exp(psi(t)-psi(0))\
&=exp(psi(t))
end{align}



Is this the right way?










share|cite|improve this question



























    1














    I am searching for the Levy-Khinchin formula for the Gamma distribution $Gamma(lambda, beta)$. My attempt is following:



    For the characteristic function I get



    $$varphi_{Gamma(lambda,beta)}(t)=Big(frac{beta}{beta -it}Big)^lambda$$
    Therefore



    $$[varphi_{Gamma(frac{lambda}{n},beta)}(t)]^n=Big[Big(frac{beta}{beta -it}Big)^frac{lambda}{n}Big]^n=varphi_{Gamma(lambda,beta)}(t)$$



    and the gamma distribution in infinitely divisible. Now the idea is to find a triplet $(b,sigma,nu)$ for the Levy-Khinchine formula. I have a hint to use $nu$ which has a density regarding to the lebesgue measure as follows



    $$frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x)$$



    So the Levy Kinchin formula is the following:



    $$psi(t)=itb-frac{t^2sigma^2}{2}+int_{mathbb{R}}Big(e^{itx}-1-itxcdot1_{{|x|<1}}(x)Big)frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x) dx$$



    Now I take derivates of $logcircvarphi_{Gamma(lambda,beta)}$ and $psi$ to find $b$:



    $$psi'(t)=ib-tsigma^2+frac{lambda i}{beta-it}+lambda iBig(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$$



    $$(logcircvarphi_{Gamma(lambda,beta)})'(t)=frac{lambda i}{beta-it}$$



    So I take $sigma=0$ and $b=-lambda Big(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$ to get $psi'(t)=(logcircvarphi_{Gamma(lambda,beta)})'(t)$. We also have $psi(0)=varphi_{Gamma(lambda,beta)}(0)=0.$



    Now I get



    begin{align} varphi_{Gamma(lambda,beta)}(t)&=exp(log(varphi_{Gamma(lambda,beta)}(t)))\
    &=exp(log(varphi_{Gamma(lambda,beta)}(t)-log(varphi_{Gamma(lambda,beta)}(0)))\
    &=exp(int_0^t psi'(s)ds)text{, what we just calculated}\
    &=exp(psi(t)-psi(0))\
    &=exp(psi(t))
    end{align}



    Is this the right way?










    share|cite|improve this question

























      1












      1








      1


      1





      I am searching for the Levy-Khinchin formula for the Gamma distribution $Gamma(lambda, beta)$. My attempt is following:



      For the characteristic function I get



      $$varphi_{Gamma(lambda,beta)}(t)=Big(frac{beta}{beta -it}Big)^lambda$$
      Therefore



      $$[varphi_{Gamma(frac{lambda}{n},beta)}(t)]^n=Big[Big(frac{beta}{beta -it}Big)^frac{lambda}{n}Big]^n=varphi_{Gamma(lambda,beta)}(t)$$



      and the gamma distribution in infinitely divisible. Now the idea is to find a triplet $(b,sigma,nu)$ for the Levy-Khinchine formula. I have a hint to use $nu$ which has a density regarding to the lebesgue measure as follows



      $$frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x)$$



      So the Levy Kinchin formula is the following:



      $$psi(t)=itb-frac{t^2sigma^2}{2}+int_{mathbb{R}}Big(e^{itx}-1-itxcdot1_{{|x|<1}}(x)Big)frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x) dx$$



      Now I take derivates of $logcircvarphi_{Gamma(lambda,beta)}$ and $psi$ to find $b$:



      $$psi'(t)=ib-tsigma^2+frac{lambda i}{beta-it}+lambda iBig(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$$



      $$(logcircvarphi_{Gamma(lambda,beta)})'(t)=frac{lambda i}{beta-it}$$



      So I take $sigma=0$ and $b=-lambda Big(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$ to get $psi'(t)=(logcircvarphi_{Gamma(lambda,beta)})'(t)$. We also have $psi(0)=varphi_{Gamma(lambda,beta)}(0)=0.$



      Now I get



      begin{align} varphi_{Gamma(lambda,beta)}(t)&=exp(log(varphi_{Gamma(lambda,beta)}(t)))\
      &=exp(log(varphi_{Gamma(lambda,beta)}(t)-log(varphi_{Gamma(lambda,beta)}(0)))\
      &=exp(int_0^t psi'(s)ds)text{, what we just calculated}\
      &=exp(psi(t)-psi(0))\
      &=exp(psi(t))
      end{align}



      Is this the right way?










      share|cite|improve this question













      I am searching for the Levy-Khinchin formula for the Gamma distribution $Gamma(lambda, beta)$. My attempt is following:



      For the characteristic function I get



      $$varphi_{Gamma(lambda,beta)}(t)=Big(frac{beta}{beta -it}Big)^lambda$$
      Therefore



      $$[varphi_{Gamma(frac{lambda}{n},beta)}(t)]^n=Big[Big(frac{beta}{beta -it}Big)^frac{lambda}{n}Big]^n=varphi_{Gamma(lambda,beta)}(t)$$



      and the gamma distribution in infinitely divisible. Now the idea is to find a triplet $(b,sigma,nu)$ for the Levy-Khinchine formula. I have a hint to use $nu$ which has a density regarding to the lebesgue measure as follows



      $$frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x)$$



      So the Levy Kinchin formula is the following:



      $$psi(t)=itb-frac{t^2sigma^2}{2}+int_{mathbb{R}}Big(e^{itx}-1-itxcdot1_{{|x|<1}}(x)Big)frac{lambda}{x}e^{-beta x}1_{[0,infty)}(x) dx$$



      Now I take derivates of $logcircvarphi_{Gamma(lambda,beta)}$ and $psi$ to find $b$:



      $$psi'(t)=ib-tsigma^2+frac{lambda i}{beta-it}+lambda iBig(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$$



      $$(logcircvarphi_{Gamma(lambda,beta)})'(t)=frac{lambda i}{beta-it}$$



      So I take $sigma=0$ and $b=-lambda Big(frac{1}{beta}e^{-beta}-frac{1}{beta}Big)$ to get $psi'(t)=(logcircvarphi_{Gamma(lambda,beta)})'(t)$. We also have $psi(0)=varphi_{Gamma(lambda,beta)}(0)=0.$



      Now I get



      begin{align} varphi_{Gamma(lambda,beta)}(t)&=exp(log(varphi_{Gamma(lambda,beta)}(t)))\
      &=exp(log(varphi_{Gamma(lambda,beta)}(t)-log(varphi_{Gamma(lambda,beta)}(0)))\
      &=exp(int_0^t psi'(s)ds)text{, what we just calculated}\
      &=exp(psi(t)-psi(0))\
      &=exp(psi(t))
      end{align}



      Is this the right way?







      probability-theory stochastic-processes stochastic-calculus






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      asked Nov 29 at 15:55









      user408858

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