Abstract
A serious gap in the Proof of Pakes’s paper on the convolution equivalence of infinitely divisible distributions on the line is completely closed. It completes the real analytic approach to Sgibnev’s theorem. Then the convolution equivalence of random sums of IID random variables is discussed. Some of the results are applied to random walks and Lévy processes. In particular, results of Bertoin and Doney and of Korshunov on the distribution tail of the supremum of a random walk are improved. Finally, an extension of Rogozin’s theorem is proved.
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Watanabe, T. Convolution equivalence and distributions of random sums. Probab. Theory Relat. Fields 142, 367–397 (2008). https://doi.org/10.1007/s00440-007-0109-7
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DOI: https://doi.org/10.1007/s00440-007-0109-7