JournalsprimsVol. 42, No. 4pp. 879–895

Some Explicit Krein Representations of Certain Subordinators, Including the Gamma Process

  • Catherine Donati-Martin

    Université Paris VI et VII, France

  • Marc Yor

    Université Paris VI, France
Some Explicit Krein Representations of Certain Subordinators, Including the Gamma Process cover
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Abstract

We give a representation of the Gamma subordinator as a Krein functional of Brownian motion, using the known representations for stable subordinators and Esscher transforms. In particular, we have obtained Krein representations of the subordinators which govern the two parameter Poisson–Dirichlet family of distributions [23].

Cite this article

Catherine Donati-Martin, Marc Yor, Some Explicit Krein Representations of Certain Subordinators, Including the Gamma Process. Publ. Res. Inst. Math. Sci. 42 (2006), no. 4, pp. 879–895

DOI 10.2977/PRIMS/1166642190