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Contents of PMS, Vol. 25, Fasc. 1,
pages 23 - 41
 

SUMS OF DUFRESNE RANDOM VARIABLES

Jean-François Chamayou

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.

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