The asymptotic dependence behavior of Ornstein-Uhlenbeck semi-stable processes
نویسندگان
چکیده
منابع مشابه
On the Transition Law of Tempered Stable Ornstein–uhlenbeck Processes
In this paper, a stochastic integral of Ornstein–Uhlenbeck type is represented to be the sum of two independent random variables: one has a tempered stable distribution and the other has a compound Poisson distribution. In distribution, the compound Poisson random variable is equal to the sum of a Poisson-distributed number of positive random variables, which are independent and identically dis...
متن کاملOn Harnack inequality for α-stable Ornstein-Uhlenbeck processes
We consider the α-stable Ornstein-Uhlenbeck process in Rd with the generator L = ∆α/2 − λx · ∇x. We show that if 2 > α ≥ 1 or α < 1 = d the Harnack inequality holds. For α < 1 < d we construct a counterexample that shows that the Harnack inequality doesn’t hold. keywords: α-stable Ornstein-Uhlenbeck process, harmonic functions, Harnack inequality. AMS Subject Classification: 60J75 60J45
متن کاملThe Stationary Distributions of Doubly Skew Ornstein-Uhlenbeck Processes and Markov-modulated Skew Ornstein-Uhlenbeck Processes
In this paper, we consider the stationary density function of the doubly skew Ornstein-Uhlenbeck process. We present the explicit formula for the stationary density function and show that this process is positive Harris recurrent and geometrically ergodic. We expand our method to the more general cases in which the multiple parameters are present and we try to consider the stability of the skew...
متن کاملMultivariate Generalized Ornstein-Uhlenbeck Processes
De Haan and Karandikar [12] introduced generalized Ornstein–Uhlenbeck processes as one-dimensional processes (Vt)t≥0 which are basically characterized by the fact that for each h > 0 the equidistantly sampled process (Vnh)n∈N0 satisfies the random recurrence equation Vnh = A(n−1)h,nhV(n−1)h + B(n−1)h,nh, n ∈ N, where (A(n−1)h,nh, B(n−1)h,nh)n∈N is an i.i.d. sequence with positive A0,h for each ...
متن کاملMarkov-modulated Ornstein-Uhlenbeck processes
In this paper we consider an Ornstein-Uhlenbeck (ou) process (M(t))t>0 whose parameters are determined by an external Markov process (X(t))t>0 on a nite state space {1, . . . , d}; this process is usually referred to as Markov-modulated Ornstein-Uhlenbeck (or: mmou). We use stochastic integration theory to determine explicit expressions for the mean and variance of M(t). Then we establish a sys...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Communications on Stochastic Analysis
سال: 2010
ISSN: 0973-9599
DOI: 10.31390/cosa.4.2.07