Geodesic
Matrix subordinators and related Upsilon transformations
Teoriâ veroâtnostej i ee primeneniâ, Tome 52 (2007) no. 1, pp. 84-110

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A class of upsilon transformations of Lévy measures for matrix subordinators is introduced. Some regularizing properties of these transformations are derived, such as absolute continuity and complete monotonicity. The class of Lévy measures with completely monotone matrix densities is characterized. Examples of infinitely divisible nonnegative definite random matrices are constructed using an upsilon transformation.
Keywords: infinite divisibility, Lévy measures, cone valued random variables, completely monotone matrix functions.
Mots-clés : random matrices 
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     author = {O. E. Barndorff-Nielsen and V. P\'erez-Abreu},
     title = {Matrix subordinators and related {Upsilon} transformations},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {84--110},
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     number = {1},
     year = {2007},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2007_52_1_a5/}
}
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O. E. Barndorff-Nielsen; V. Pérez-Abreu. Matrix subordinators and related Upsilon transformations. Teoriâ veroâtnostej i ee primeneniâ, Tome 52 (2007) no. 1, pp. 84-110. http://geodesic.mathdoc.fr/item/TVP_2007_52_1_a5/