A. Lindner

activity

20062021

most citedContinuous-time GARCH processes

91 citations · 153 across the 15 of their papers we have counts for

collaborators

15 papers

math.PR2021

On multivariate quasi-infinitely divisible distributions

David Berger, Merve Kutlu, Alexander Lindner

A quasi-infinitely divisible distribution on $R^{d}$ is a probability distribution $μ$ on $R^{d}$ whose characteristic function can be written as the quotient of the…

math.PR2020★ 4 cited

A Cramér--Wold device for infinite divisibility of $Z^{d}$ -valued distributions

David Berger, Alexander Lindner

We show that a Cramér--Wold device holds for infinite divisibility of $Z^{d}$ -valued distributions, i.e. that the distribution of a $Z^{d}$ -valued random vector $X$ i…

math.PR2020★ 7 cited

On the law of killed exponential functionals

Anita Behme, Alexander Lindner, Jana Reker

For two independent Lévy processes $ξ$ and $η$ and an exponentially distributed random variable $τ$ with parameter $q > 0$ that is independent of $ξ$ and $η$ , the killed exponential…

math.PR2019★ 2 cited

Continuity properties and the support of killed exponential functionals

Anita Behme, Alexander Lindner, Jana Reker +1

For two independent Lévy processes $ξ$ and $η$ and an exponentially distributed random variable $τ$ with parameter $q > 0$ , independent of $ξ$ and $η$ , the killed exponential functio…

math.PR2017★ 2 cited

On quasi-infinitely divisible distributions

Alexander Lindner, Lei Pan, Ken-iti Sato

A quasi-infinitely divisible distribution on $R$ is a probability distribution whose characteristic function allows a Lévy-Khintchine type representation with a "signed Lé…

math.PR2014

On the range of exponential functionals of Lévy processes

Anita Behme, Alexander Lindner, Makoto Maejima

We characterize the support of the law of the exponential functional $\int_{0}^{\infty} e^{- ξ_{s -}} d η_{s}$ of two one-dimensional independent Lévy processes $ξ$ and $η$ . Further, we…