SUMS OF DUFRESNE RANDOM VARIABLES
Abstract: We study particular cases of sums of independent Dufresne random variables
(which are essentially products of beta and gamma variables) such that the distribution of the
sum is again a Dufresne random variable.
2000 AMS Mathematics Subject Classification: Primary: 60F07, 62E10; Secondary:
60J65, 33A30.
Key words and phrases: Beta, gamma, double gamma and Dufresne distributions,
Gauss hypergeometric functions, Lévy processes, infinite divisibility, Orr-Darling
products, parabolic cylinder functions, Bessel functions, Kampé de Fériet series.