On the self-decomposability of the Fréchet distribution

Let ${\Gamma_t, \, t\ge 0}$ be the Gamma subordinator. Using a moment identification due to Bertoin-Yor (2002), we observe that for every $t > 0$ and $\alpha\in (0,1)$ the random variable $\Gamma_t^{-\alpha}$ is distributed as the exponential functional of some spectrally negative Lévy process. This entails that all size-biased samplings of Fréchet distributions are self-decomposable and that the extreme value distribution $F_\xi$ is infinitely divisible if and only if $\xi\not\in (0,1),$ solving problems raised by Steutel (1973) and Bondesson (1992). We also review different analytical and probabilistic interpretations of the infinite divisibility of $\Gamma_t^{-\alpha}$ for $t,\alpha > 0.$

Data and Resources

Additional Info

Field Value
Source https://hal.science/hal-00787816
Author Bosch, Pierre, Simon, Thomas
Maintainer CCSD
Last Updated May 14, 2026, 12:44 (UTC)
Created May 14, 2026, 12:44 (UTC)
Identifier hal-00787816
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Laboratoire Paul Painlevé - UMR 8524 (LPP) ; Université de Lille-Centre National de la Recherche Scientifique (CNRS)
creator Bosch, Pierre
date 2013-02-13T00:00:00
harvest_object_id f6b2466d-9ce9-4243-b04d-c01619292440
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2024-05-03T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1302.3097
set_spec type:UNDEFINED