Ken-iti Sato

activity

20062017

most citedTransformations of infinitely divisible distributions via improper stochastic integrals

27 citations · 87 across the 13 of their papers we have counts for

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Showing 2006 · math.PRShow all

2 papers · 2 filters

math.PR2006★ 16 cited

Monotonicity and non-monotonicity of domains of stochastic integral operators

Ken-iti Sato

A Lévy process on $R^{d}$ with distribution $μ$ at time 1 is denoted by $X^{(μ)} = {X_{t}^{(μ)}}$ . If the improper stochastic integral $\int_{0}^{\infty -} f (s) d X_{s}^{(μ)}$ of $f$ with res…

math.PR2006

Some properties of exponential integrals of Lévy processes and examples

Hitoshi Kondo, Makoto Maejima, Ken-iti Sato

The improper stochastic integral $Z = \int_{0}^{\infty -} exp (- X_{s -}) d Y_{s}$ is studied, where ${(X_{t}, Y_{t}), t ⩾ 0}$ is a Lévy process on $R^{1 + d}$ with ${X_{t}}$ an…