Celebratio Mathematica — Yor — Complete Bibliography

Complete Bibliography

Works connected to Lancelot Fitzgerald James

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L. F. James and M. Yor: Tilted stable subordinators, Gamma time changes and occupation time of rays by Bessel spiders. Preprint, January 2007. ArXiv math/0701049 techreport

L. F. James, B. Roynette, and M. Yor: “Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples,” Probab. Surv. 5 (2008), pp. 346–415. MR 2476736 Zbl 1189.60035 ArXiv 0708.3932 article

In Section 1, we present a number of classical results concerning the Generalized Gamma Convolution (GGC) variables, their Wiener–Gamma representations, and relation with the Dirichlet processes.

To a GGC variable, one may associate a unique Thorin measure. Let \( G \) a positive r.v. and \( \Gamma_t(G) \) (resp. \( \Gamma_t(1/G) \) the Generalized Gamma Convolution with Thorin measure \( t \)-times the law of \( G \) (resp. the law of \( 1/G \)). In Section 2, we compare the laws of \( \Gamma_t(G) \) and \( \Gamma_t(1/G) \).

In Section 3, we present some old and some new examples of GGC variables, among which the lengths of excursions of Bessel processes straddling an independent exponential time.

Lancelot Fitzgerald James	Related
Bernard Roynette	Related