ⓘ Infinite divisibility (probability)
In probability theory, a probability distribution is infinitely divisible if it can be expressed as the probability distribution of the sum of an arbitrary number of independent and identically distributed random variables. The characteristic function of any infinitely divisible distribution is then called an infinitely divisible characteristic function.
More rigorously, the probability distribution F is infinitely divisible if, for every positive integer n, there exist n independent identically distributed random variables X n 1., X nn whose sum S n = X n 1 + … + X nn has the distribution F.
The concept of infinite divisibility of probability distributions was introduced in 1929 by Bruno de Finetti. This type of decomposition of a distribution is used in probability and statistics to find families of probability distributions that might be natural choices for certain models or applications. Infinitely divisible distributions play an important role in probability theory in the context of limit theorems.
1. Examples
The Poisson distribution, the negative binomial distribution, the Gamma distribution and the degenerate distribution are examples of infinitely divisible distributions; as are the normal distribution, Cauchy distribution and all other members of the stable distribution family. The uniform distribution and the binomial distribution are not infinitely divisible, nor are any other distributions with bounded finite support. The Students tdistribution is infinitely divisible, while the distribution of the reciprocal of a random variable having a Students tdistribution, is not.
All the compound Poisson distributions are infinitely divisible.
2. Limit theorem
Infinitely divisible distributions appear in a broad generalization of the central limit theorem: the limit as n → +∞ of the sum S n = X n 1 + … + X nn of independent uniformly asymptotically negligible u.a.n. random variables within a triangular array
X 11 X 21 X 22 X 31 X 32 X 33 ⋮ ⋮ ⋮ ⋱ {\displaystyle {\begin{array}{cccc}X_{11}\\X_{21}&X_{22}\\X_{31}&X_{32}&X_{33}\\\vdots &\vdots &\vdots &\ddots \end{array}}}approaches  in the weak sense  an infinitely divisible distribution. The uniformly asymptotically negligible u.a.n. condition is given by
lim n → ∞ max 1 ≤ k ≤ n P  X n k  > ε = 0 for every ε > 0. {\displaystyle \lim _{n\to \infty }\,\max _{1\leq k\leq n}\;P\leftX_{nk}\right> \varepsilon=0{\text{ for every }}\varepsilon > 0.}Thus, for example, if the uniform asymptotic negligibility u.a.n. condition is satisfied via an appropriate scaling of identically distributed random variables with finite variance, the weak convergence is to the normal distribution in the classical version of the central limit theorem. More generally, if the u.a.n. condition is satisfied via a scaling of identically distributed random variables with not necessarily finite second moment, then the weak convergence is to a stable distribution. On the other hand, for a triangular array of independent unscaled Bernoulli random variables where the u.a.n. condition is satisfied through
lim n → ∞ n p n = λ, {\displaystyle \lim _{n\rightarrow \infty }np_{n}=\lambda,}the weak convergence of the sum is to the Poisson distribution with mean λ as shown by the familiar proof of the law of small numbers.
3. Levy process
Every infinitely divisible probability distribution corresponds in a natural way to a Levy process. A Levy process is a stochastic process { L t: t ≥ 0 } with stationary independent increments, where stationary means that for s 0 are handled via a continuity argument.
 Vol. 27 as coauthor Infinitely divisible Point Processes. John Wiley Sons, Chichester, 1978. Series: Wiley Series in Probability and Mathematical Statistics
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 ISBN 0  387  90665  7. MR 0648107. O. Barndorff  Nielsen and Christian Halgreen, Infinite Divisibility of the Hyperbolic and Generalized Inverse Gaussian Distributions
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 characterization of Poisson point process and infinite divisibility Klenke, Achim 2008 Probability Theory. Berlin: Springer. p. 190. doi: 10.1007 978  1  84800  048  3
 elsewhere that mathematicians were wrong in thinking that lines are infinitely divisible Guirlande de Julie E. Feuillatre Editor Les Epistoliers Du XVIIe
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