Periodic Ornstein-Uhlenbeck processes driven by Lévy processes
2002 ◽
Vol 39
(04)
◽
pp. 748-763
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Keyword(s):
In this paper, the class of periodic Ornstein-Uhlenbeck processes is defined. It is shown that periodic Ornstein-Uhlenbeck processes are stationary Markov random fields and the class of stationary distributions is characterized. In particular, any self-decomposable distribution is the stationary distribution of some periodic Ornstein-Uhlenbeck process. As examples, gamma periodic Ornstein-Uhlenbeck processes and Gaussian periodic Ornstein-Uhlenbeck processes are considered.
2002 ◽
Vol 39
(4)
◽
pp. 748-763
◽
2015 ◽
Vol 47
(04)
◽
pp. 1108-1131
◽
1994 ◽
Vol 26
(03)
◽
pp. 756-774
◽
2015 ◽
Vol 47
(4)
◽
pp. 1108-1131
◽
2014 ◽
Vol 134
(6)
◽
pp. 796-805
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Keyword(s):