On the infinite divisibility of the lognormal distribution

Authors
Citation
O. Thorin,, On the infinite divisibility of the lognormal distribution, Scandinavian actuarial journal , 1977(3), 1977, pp. 121-148
ISSN journal
03461238
Volume
1977
Issue
3
Year of publication
1977
Pages
121 - 148
Database
ACNP
SICI code
Abstract
In the present paper the author proves that the lognormal distribution is infinitely divisible. This is achieved by showing that the lognormal is the weak limit of a sequence of probability distributions all of which are generalized Γ-convolutions and thus infinitely divisible. It is also proved that the lognormal itself is a generalized Γ-convolution.