학술논문

Polar Decomposition of Scale-Homogeneous Measures with Application to Lévy Measures of Strictly Stable Laws
Document Type
article
Source
Journal of Theoretical Probability. 31(3)
Subject
Disintegration
Infinite divisibility
LePage representation
Pure Mathematics
Statistics
Statistics & Probability
Language
Abstract
A scaling on some space is a measurable action of the group of positive real numbers. A measure on a measurable space equipped with a scaling is said to be α-homogeneous for some nonzero real number α if the mass of any measurable set scaled by any factor t> 0 is the multiple t-α of the set’s original mass. It is shown rather generally that given an α-homogeneous measure on a measurable space there is a measurable bijection between the space and the Cartesian product of a subset of the space and the positive real numbers (that is, a “system of polar coordinates”) such that the push-forward of the α-homogeneous measure by this bijection is the product of a probability measure on the first component (that is, on the “angular” component) and an α-homogeneous measure on the positive half line (that is, on the “radial” component). This result is applied to the intensity measures of Poisson processes that arise in Lévy-Khinchin-Itô-like representations of infinitely divisible random elements. It is established that if a strictly stable random element in a convex cone admits a series representation as the sum of points of a Poisson process, then it necessarily has a LePage representation as the sum of i.i.d. random elements of the cone scaled by the successive points of an independent unit-intensity Poisson process on the positive half line each raised to the power -1α.