On the infinite divisibility of distributions of some inverse subordinators

Abstract

We consider the infinite divisibility of distributions of some well-known inverse subordinators. Using a tail probability bound, we establish that distributions of many of the inverse subordinators used in the literature are not infinitely divisible. We further show that the distribution of a renewal process time-changed by an inverse stable subordinator is not infinitely divisible, which in particular implies that the distribution of the fractional Poisson process is not infinitely divisible.

Published at https://doi.org/10.15559/18-VMSTA108 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)