Abstract:
Random variables $\xi$ with values in a separable Hilbert space $H$ with infinitely divisible distributions are considered. Some sufficient conditions for the absolute continuity of the measure corresponding to $\xi+a$ ($a\in H$) with respect to the measure corresponding to $\xi$ are obtained.
Let now $H$ denote the real line and let the characteristic function of $\xi$ be
$$
\exp\biggl\{\int\biggl(e^{ixt}-1-\frac{ixt}{1+x^2}\biggr)\Pi(dx)\biggr\}.
$$
It is proved that in this case $\xi$ has a density when the condition $\int_{-1}^1|x|\Pi(dx)=\infty$ is satisfied.
Citation:
A. V. Skorokhod, “Об абсолютной непрерывности безгранично делимых распределений при сдвигах”, Teor. Veroyatnost. i Primenen., 10:3 (1965), 510–518; Theory Probab. Appl., 10:3 (1965), 465–472
This publication is cited in the following 6 articles:
John Yuan, “On the structure of monoids of admissible transplates of multivariate probability measures”, Semigroup Forum, 27:1 (1983), 377
Patrick L. Brockett, Howard G. Tucker, “A conditional dichotomy theorem for stochastic processes with independent increments”, Journal of Multivariate Analysis, 7:1 (1977), 13
Patrick L. Brockett, “Admissible transformations of measures”, Semigroup Forum, 12:1 (1976), 21
Vera Darlene Briggs, “Densities for infinitely divisible random processes”, Journal of Multivariate Analysis, 5:2 (1975), 178
V. M. Zolotarev, V. M. Kruglov, “The structure of infinitely divisible distributions on a bicompact Abelian group”, Theory Probab. Appl., 20:4 (1976), 698–709
A. V. Skorokhod, “On admissible translations of measures in Hilbert space”, Theory Probab. Appl., 15:4 (1970), 557–580