On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos

Andreas Basse-O’Connor; Jan Pedersen; Victor Rohde

doi:10.15559/20-VMSTA160

Modern Stochastics: Theory and Applications (Aug 2020)

On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos

Andreas Basse-O’Connor,
Jan Pedersen,
Victor Rohde

Affiliations

Andreas Basse-O’Connor: Department of Mathematics, Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark
Jan Pedersen: Department of Mathematics, Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark
Victor Rohde: Department of Mathematics, Aarhus University, Ny Munkegade 118, 8000 Aarhus C, Denmark

DOI: https://doi.org/10.15559/20-VMSTA160
Journal volume & issue: Vol. 7, no. 3
pp. 267 – 289

Abstract

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Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility are presented as well as more easily verifiable sufficient conditions. The case where both components consist of a sum of two Gaussian squares is treated in more depth, and it is conjectured that such vectors are infinitely divisible.

Published in Modern Stochastics: Theory and Applications

ISSN: 2351-6046 (Print); 2351-6054 (Online)
Publisher: VTeX
Country of publisher: Lithuania
LCC subjects: Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods; Science: Mathematics
Website: https://www.vmsta.org/journal/VMSTA

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