Updated on Mon Dec 13 14:40:00 MET 1999

[AB96]
David Applebaum and Martin Brooks. Infinite series of quantum spectral stochastic integrals. J. Operator Theory, 36(2):295-316, 1996.

[AC97]
David Applebaum and Serge Cohen. Stochastic parallel transport along Lévy flows of diffeomorphisms. J. Math. Anal. Appl., 207(2):496-505, 1997.

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Robert J. Adler, Stamatis Cambanis, and Gennady Samorodnitsky. On stable Markov processes. Stochastic Process. Appl., 34(1):1-17, 1990.

[AE98]
David Applebaum and A. Estrade. Isotropic Lévy processes on Riemannian manifolds. Technical report, 1998.

[AK97]
David Applebaum and Hiroshi Kunita. Invariant measures for Lévy flows of diffeomorphisms. Technical report, 1997.

[AK99]
Søren Asmussen and Offer Kella. On optional stopping of some exponentional martingales for Lévy processes with or without reflection. Technical report, Preprints in Mathematical Sciences, Centre for Mathematical Sciences, Lund University., 1999.

[App97]
David Applebaum. Compound Poisson processes and Lévy processes in groups and symmetric spaces. Technical report, 1997.

[App98a]
David Applebaum. On the subordination of spherically symmetric Lévy processes in Lie groups. Technical report, 1998.

[App98b]
David Applebaum. Operator-valued stochastic differential equations arising from unitary group representations. Technical report, 1998.

[AW97]
David Applebaum and J-L. Wu. Stochastic partial differential equations driven by Lévy space-time white noise. Technical report, 1997.

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F. Bardou. Rare events in quantum tunneling. Europhys. Lett., 42:239-244, 1997.

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F. Bardou, J.P. Bouchaud, O. Emile, A. Aspect, and C. Cohen-Tannoudji. Subrecoil laser cooling and Lévy flights. Phys. Rev. Lett., 1994.

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Jean Bertoin. An extension of Pitman's theorem for spectrally positive Lévy processes. Ann. Probab., 20(3):1464-1483, 1992.

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Jean Bertoin. Lévy processes. Cambridge University Press, Cambridge, 1996.

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Jean Bertoin. Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval. Ann. Appl. Probab., 7(1):156-169, 1997.

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Ole E. Barndorff-Nielsen. Normal inverse Gaussian distributions and stochastic volatility modelling. Scand. J. Statist., 24:1-14, 1997.

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Ole E. Barndorff-Nielsen. Processes of normal inverse Gaussian type. Finance and Stochastics, (2):41-68, 1998.

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Ole E. Barndorff-Nielsen, J.L. Jensen, and M. Sørensen. Some stationary processes in discrete and continuous time. Adv. Appl. Prob., (To appear), 1999.

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Ole E. Barndorff-Nielsen and V Pérez-Abreu. Stationary and selfsimilar processes driven by Lévy processes. Technical report, Research report 1, Centre for Mathematical Physics and Stochastics, Aarhus University., 1998.

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Ole E. Barndorff-Nielsen and N. Shephard. Aggregation and construction for volatility model. Technical report, Research report 10, CAF-Centre for Analytical Finace, Aarhus, 1998.

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Ole E. Barndorff-Nielsen and N. Shephard. Incorporation of a leverage effect in a stochastic volatility model. Technical report, Research report 18, Centre for Mathematical Physics and Stochastics, Aarhus University., 1998.

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A. Barchielli and A.M. Paganoni. A note on a formula of the Lévy-Khinchin type in quantum probability. Nagoya Math. J., 141:29-43, 1996.

[Bra97]
Michael Braverman. Suprema and sojourn times of Lévy processes with exponential tails. Stochastic Process. Appl., 68(2):265-283, 1997.

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Michael Braverman and Gennady Samorodnitsky. Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes. Stochastic Process. Appl., 78(1):1-26, 1998.

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Philippe Carmona. Some complements to `On the distribution and asymptotic results for exponential functionals of Lévy processes'. September 1996.

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T.S. Chiang, Y. Chow, and Y.J. Lee. Exact formulas of certain functional integrals on Wiener spaces. Stochastics Stochastics Rep., 50:211-223, 1994.

[Cha96]
L. Chaumont. Conditionings and path decompositions for Lévy processes. Stochastic Process. Appl., 64(1):39-54, 1996.

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Dayue Chen. Average properties of random walks on Galton-Watson trees. Ann. Inst. H. Poincaré Probab. Statist., 33(3):359-369, 1997.

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Philippe Carmona, Frédérique Petit, and Marc Yor. On the distribution and asymptotic results for exponential functionals of Lévy processes. In Exponential functionals and principal values related to Brownian motion, pages 73-130. Rev. Mat. Iberoam., Madrid, 1997.

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Gyeong Suck Choi and Ken-iti Sato. Recurrence and transience of operator semi-stable processes. Proc. Japan Acad. Ser. A Math. Sci., 71(5):87-89, 1995.

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Angelos Dassios. Sample quantiles of stochastic processes with stationary and independent increments. Ann. Appl. Probab., 6(3):1041-1043, 1996.

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D. Dacunha-Castelle. Distributions limites p.s. desaccroissements de processes à accroissements échangeables ou indépendants. Technical Report 95.04, Université de Paris-Sud, Mathematiques, B^atiment 425, 91405 Orsay, France.

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V. Da Costa, Y. Henry, F. Bardou, and K. Ounadjela. Experimental evidence and consequences of rare events in quantum tunneling. November 26 1998.

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J. De Coninck and Zbigniew J. Jurek. Lee-Yang models, selfdecomposability and negative-definite functions.

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Robert C. Dalang and Qiang Hou. On Markov properties of Lévy waves in two dimensions. Stochastic Process. Appl., 72(2):265-287, 1997.

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Paul Damien, Purushottam W. Laud, and Adrian F.M. Smith. Approximate random variate generation from infinitely divisible distributions with applications to Bayesian inference. J. R. Statist. Soc. B, 57:547-563, 1995.

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Marco Dozzi and A. Reza Soltani. Local time for stable moving average processes: Hölder conditions. Stoch. Proc. Appl., 68(2):195-207, 1997.

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E. Eberlein, U. Keller, and K. Prause. New insights into smile, mispricing and value at risk: the hyperbolic model. Journal of Business, 71(3):371-405, 1998.

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E. Eberlein and K. Prause. The general hyperbolic model: financial derivatives and risk measures.

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E. Eberlein and S. Raible. Term structure models driven by general Lévy processes.

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Mohammed Errami and Francesco Russo. Covariation de convolution de martingales. C. R. Acad. Sci. Paris Sér. I Math., 326(5):601-606, 1998.

[ERV]
Mohammed Errami, Francesco Russo, and Pierre Vallois. Ito formula for Csp 1,lambda-functions of a cadlag process and related calculus.

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Walter Farkas, Niels Jacob, and Vitaly Moroz. Feller semigroups, L^p-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols. December 1998.

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Uwe Franz. Classical Markov processes from quantum Lévy processes. Technical report, Université Louis Pasteur, 1998.

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Uwe Franz. Classical Markov processes from quantum Lévy processes. Infin. Dimens. Anal. Quantum Probab. Relat. Top., 2(1):105-129, 1999.

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Ramesh Gangolli. Sample functions of certain differential processes on symmetric spaces. Pacific J. Math., 15:477-496, 1965.

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Rudolf Gorenflo, Gianni De Fabritiis, and Francesco Mainardi. Discrete random walk models for symmetric Lévy-Feller diffusion processes. November 1998.

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R. Gorenflo and F. Mainardi. Fractional calculus and stable probability distributions. Arch. Mech. (Arch. Mech. Stos.), 50(3):377-388, 1998. Fourth Meeting on Current Ideas in Mechanics and Related Fields (Kraków, 1997).

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S.E. Graversen. On Paul Lévy's arc sine law and its generalization for symmetric self-similar diffusions. Research Report 361, Department of Theoretical Statistics, University of Aarhus, November 1996.

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B. Grigelionis. Process of meixner type.

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R. K. Getoor and M. J. Sharpe. Local times on rays for a class of planar Lévy processes. J. Theoret. Probab., 7(4):799-811, 1994.

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R. Höpfner. On statistical models for d-dimensional stable processes, and some generalizations. Preprint Nr. 33/1996-11.11.1996 Mathematisches Fakultät, Albert-Ludwigs-Universität Freiburg, 1996.

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B. G. Hansen. Stability and self-decomposability of semi-group valued random variables. Statist. Neerlandica, 50(2):295-305, 1996.

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Karl H. Hofmann and Zbigniew J. Jurek. Some analytical semigroups occurring in probability theory. J. Theoret. Probab., 9(3):745-763, 1996.

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Niels Jacob. Generators of Feller semigroups as generators of L^p-sub-Markovian semigroups. November 1998.

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S. Jaffard. The multifractal nature of lévy processes.

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Zbigniew J.Jurek. Series of independent exponential random variables. Proceedings of the Seventh Japan-Russian Symposium "Probability Theory and Mathematical Statistics", Tokyo 26-30 July 1995. Eds.: S. Watanabe, M. Fukushima, Yu.V. Prohorov and A.N. Shiryaev. World Scientific, 1996.

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Zbigniew J. Jurek and J. David Mason. Operator-limit distributions in probability theory. John Wiley & Sons Inc., New York, 1993.

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Bent Jørgensen and José Raúl Mart´inez. The Lévy-Khinchine representation of the Tweedie class. Rebrape, 10(2):225-233, 1996.

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Bent Jørgensen and José Raúl Martínez. Tauber theory for infinitely divisible variance functions. Bernoulli, 3:213-224, 1997.

[JM98]
Niels Jacob and Vitaly Moroz. On the semilinear dirichelet problem for nonlocal operators generating symmetric dirichelet forms. 1998.

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Jean. Jacod, Sylvie Méléard, and Philip Protter. Explicit form and robustness of martingale representations.

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Niels Jacob and René L. Schilling. Some Dirichlet spaces obtained by subordinate reflected diffusions. Revistu Mat., To appear.

[JS98a]
Niels Jacob and René L. Schilling. An analytic proof of the Lévy-Khinchin formula on rmbf Rsp n. Publ. Math. Debrecen, 53(1-2):69-89, 1998.

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Niels Jacob and René L. Schilling. Fractional derivatives, non-symmetric and time-dependent Dirichlet forms, and the drift form. July 21 1998.

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Niels Jacob and René L. Schilling. Fractional derivatives, non-symmetric and time-dependent dirichlet forms, and the drift form. Technical report, Department of Mathematics, Statistics and Operational Research, The Nottingham Trent University, United Kingdom, 1998.

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Niels Jacob and René L. Schilling. Some dirichelet spaces obtained by subordinate subordinate reflected diffusions. 1999.

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Zbigniew J. Jurek. s-stable laws: Application in insurance and finance and generalization to simpley connected nilpotent Lie groups.

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Zbigniew J. Jurek. Series of independent exponential random variables. In Probability theory and mathematical statistics (Tokyo, 1995), pages 174-182. World Sci. Publishing, River Edge, NJ, 1996.

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P. Kokoszka and T. Mikosch. The periodogram at the fourier frequencies. Technical report, Institute of Mathematics and Computing Science of the University of Groningen, 1998.

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F. B. Knight. The uniform law for exchangeable and Lévy process bridges. Astérisque, (236):171-188, 1996.

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Jean-Francois Le Gall. Superprocesses, Brownian snakes and partial differential equations. Lecture Notes from the 11th Winter School on Stochastic Processes. Siegmundsburg, 1996.

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Jean-Francois Le Gall and Yves Le Jan. Branching processes in Lévy processes: Laplace functionals of snakes and superprocesses. Ann. Probab., 26(4):1407-1432, 1998.

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Jean-Francois Le Gall and Yves Le Jan. Branching processes in Lévy processes: the exploration process. Ann. Probab., 26(1):213-252, 1998.

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Russell Lyons and Yuval Peres. Probability on Trees. Cambridge University Press. 1998.

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Boris Leblanc and Marc Yor. Lévy processes in finance: A remedy to the non-stationarity of continuous martingales. Finance Stoch., 2:399-408, 1998.

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Makoto Maejima. Limit theorems related to a class of operator-self-similar processes. Nagoya Math. J., 142:161-181, 1996.

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M.B. Marcus. Renormalized self-intersection local times and Wick power chaos processes.

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T. Mikosch. Elementary Stochastic Calculus with finance in view. World Scientific, 1998.

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Makoto Maejima and Yoshihiro Naito. Semi-selfdecomposable distributions and a new class of limit theorems. Research Report 97/004, Department of Mathematics, Keio University, Hiyoshi 3-14-1, Kohoku-ku, Yokohama, 223 Japan, June 26 1997.

[MP]
F. Mainardi and P. Pironi. Probability distributions generated by fractional diffusion equations.

[MR]
T. Mikosch and N. Rimas. Stochastic integral equations without probability.

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Michael B. Marcus and Jay Rosen. Sample path properties of the local times of strongly symmetric Markov processes via Gaussian processes. Ann. Probab., 20(4):1603-1684, 1992.

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Michael B. Marcus and Jay Rosen. Gaussian chaos and sample path properties of additive functionals of symmetric Markov processes. Ann. Probab., 24(3):1130-1177, 1996.

[MR96b]
Michael B. Marcus and Jay Rosen. Random Fourier series and continuous additive functionals of Lévy processes on the torus. Ann. Probab., 24(3):1178-1218, 1996.

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Makoto Maejima and Ken-iti Sato. Semi-selfsimilar processes. Research Report 97/005, Department of Mathematics, Keio University, Hiyoshi 3-14-1, Kohoku-ku, Yokohama, 223 Japan, July 10 1997.

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T. Mikosch and G. Samorodnitsky. The supremum of a negative drift random walk with dependent heavy-tailed steps. Technical report, Institute of Mathematics and Computing Science of the University of Groningen, 1998.

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T. Mikosch and C. Starica. Limit theory for the sample autocorrelations and extremes of a rm garch(1,1) process. Technical report, Institute of Mathematics and Computing Science of the University of Groningen, 1998.

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M. Maejima, Ken-iti Sato, and T. Watanabe. Completely operator semi-selfdecomposabe distributions. Research Report 98/006, Department of Mathematics, Keio University, 1998.

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M. Maejima, Ken-iti Sato, and T. Watanabe. Operator semi-selfdecomposability, (C,Q)-decomposability and related nested classes. Research Report 98/004, Department of Mathematics, Keio University, 1998.

[NS]
A.R. Nematollahi and A. Reza Soltani. Discrete time periodically correlated Markov processes.

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M. Nikfar and A. Reza Soltani. A characterization and moving average representation for stable harmonizable processes. J. Appl. Math. Stochastic Anal., 9(3):263-270, 1996.

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M. Nikfar and A. R. Soltani. On regularity of certain stable processes. Bull. Iranian Math. Soc., 23(1):13-22, 1997.

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David Nualart and Wim Schoutens. Chaotic and predictable representations for Lévy processes. Technical report, Mathematics Preprint Series, Universitat de Barcelona., 1999.

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Anthony G. Pakes. A hitting time for Lévy processes, with applications to dams and branching processes. Ann. Fac. Sci. Toulouse Math. (6), 5(3):521-544, 1996.

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Philip Protter and Denis Talay. The Euler scheme for Lévy driven stochastic differential equations. Ann. Probab., 25(1):393-423, 1997.

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J. Reichel, F. Bardou, M. Ben Dahan, E. Peik, S. Rand, C. Salomon, and C. Cohen-Tannoudji. Raman cooling of cesium below 3 nk: New approch inspired by Lévy flight statistics. Phys. Rev. Lett..

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Christian Rentzsch. Lévy-Khintchine representation on local Sturm-Liouville hypergroups. Infin. Dimens. Anal. Quantum Probab. Relat. Top., 2(1):79-104, 1999.

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Jan Rosiński and Gennady Samorodnitsky. Product formula, tails and independence of multiple stable integrals.

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A. Reza Soltani. Reward processes with nonlinear reward functions. J. Appl. Probab., 33(4):1011-1017, 1996.

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Francesco Russo and Pierre Vallois. Forward, backward and symmetric stochastic integration. Probab. Theory Related Fields, 97(3):403-421, 1993.

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Francesco Russo and Pierre Vallois. The generalized covariation process and Ito formula. Stochastic Process. Appl., 59(1):81-104, 1995.

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F. Russo and P. Vallois. Ito formula for Csp 1-functions of semimartingales. Probab. Theory Related Fields, 104(1):27-41, 1996.

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Francesco Russo and Piere Vallois. Product of two multiple stochastic integrals with respect to a normal martingale. Stochastic Process. Appl., 73:47-68, 1998.

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Ken-iti Sato. Convolution of unimodal distributions can produce any number of modes. Ann. Probab., 21(3):1543-1549, 1993.

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Ken-iti Sato. Time evolution of distributions of Lévy processes from continuous singular to absolutely continuous. Technical report, College of General Education, Nagoya University, 1994.

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Ken-iti Sato. Criteria of weak and strong transience for Lévy processes. In Probability theory and mathematical statistics (Tokyo, 1995), pages 438-449. World Sci. Publishing, River Edge, NJ, 1996.

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A. Reza Soltani. A characterization theorem for stable random measures.

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A. Reza Soltani. Exchangeable stable random vectors and their simulations.

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A. Reza Soltani. Certain families of distributions, indexed by alpha. In Applied statistical science, II (Malang, 1996), pages 165-169. Nova Sci. Publ., Commack, NY, 1997.

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