The closure of the convolution equivalent distribution class under convolution roots with applications to random sums

摘要

Let F be a proper distribution on D = [0, infinity) or (-infinity, infinity) and N be a non-negative integer-valued random variable with masses p(n) = P(N = n), n >= 0. Denote G = Sigma(infinity)(n=0) p(n)F*(n). The main result of this paper is that under some suitable conditions, G belongs to the convolution equivalent distribution class if and only if F belongs to the convolution equivalent distribution class. As applications, some known results on random sums have been extended and improved, which give a positive answer under certain conditions to Problem 1 of Watanabe (2008). Similarly, some corresponding results for the local distributions and densities have been obtained.