scholarly journals Multidimensional process of Ornstein-Uhlenbeck type with nondiagonalizable matrix in linear drift terms

1996 ◽  
Vol 141 ◽  
pp. 45-78 ◽  
Author(s):  
Ken-Iti Sato ◽  
Toshiro Watanabe ◽  
Kouji Yamamuro ◽  
Makoto Yamazato
Keyword(s):  
Lévy Process ◽  
Continuous Process ◽  
Levy Process ◽  
Inner Product ◽  
Dimensional Euclidean Space ◽  
Positive Real ◽  
Cell Matrix ◽  
The Matrix ◽  
Drift Terms ◽  
Multidimensional Process

Let Rd be the d-dimensional Euclidean space where each point is expressed by a column vector. Let | x | and ‹x, y› denote the norm and the inner product in Rd. Let Q = (Qjk) be a real d × d-matrix of which all eigenvalues have positive real parts. Let X be a process of Ornstein-Uhlenbeck type (OU type process) on Rd associated with a Levy process {Z: t ≥ 0} and the matrix Q. Main purpose of this paper is to give a recurrence-transience criterion for the process X when Q is a Jordan cell matrix and to compare it with the case when Q is diagonalizable. Here by a Levy process we mean a stochastically continuous process with stationary independent increments, starting at 0.

Multiple points for symmetric Lévy processes

1978 ◽  
Vol 83 (1) ◽  
pp. 83-90 ◽  
Author(s):  
John Hawkes
Keyword(s):  
Markov Process ◽  
Euclidean Space ◽  
Lévy Process ◽  
Lévy Processes ◽  
Transition Function ◽  
Levy Processes ◽  
Levy Process ◽  
Dimensional Euclidean Space ◽  
Multiple Points ◽  
Image Position

Let Xt be a Lévy process in Rd, d-dimensional euclidean space. That is X is a Markov process whose transition function satisfies

scholarly journals LAN property for a simple Lévy process

2014 ◽  
Vol 352 (10) ◽  
pp. 859-864 ◽  
Author(s):  
Arturo Kohatsu-Higa ◽  
Eulalia Nualart ◽  
Ngoc Khue Tran
Keyword(s):  
Lévy Process ◽  
Levy Process

scholarly journals MATRIX THEORY, HILBERT SCHEME AND INTEGRABLE SYSTEM

1998 ◽  
Vol 13 (34) ◽  
pp. 2731-2742 ◽  
Author(s):  
YUTAKA MATSUO
Keyword(s):  
Hilbert Scheme ◽  
Matrix Theory ◽  
Fock Space ◽  
Homology Class ◽  
Orthogonal Basis ◽  
Inner Product ◽  
Virasoro Symmetry ◽  
Hilbert Scheme Of Points ◽  
The Matrix ◽  
Boson Fock Space

We give a reinterpretation of the matrix theory discussed by Moore, Nekrasov and Shatashivili (MNS) in terms of the second quantized operators which describes the homology class of the Hilbert scheme of points on surfaces. It naturally relates the contribution from each pole to the inner product of orthogonal basis of free boson Fock space. These bases can be related to the eigenfunctions of Calogero–Sutherland (CS) equation and the deformation parameter of MNS is identified with coupling of CS system. We discuss the structure of Virasoro symmetry in this model.

scholarly journals On the optimal dividend problem for a spectrally negative Lévy process

2007 ◽  
Vol 17 (1) ◽  
pp. 156-180 ◽  
Author(s):  
Florin Avram ◽  
Zbigniew Palmowski ◽  
Martijn R. Pistorius
Keyword(s):  
Lévy Process ◽  
Levy Process ◽  
Spectrally Negative Lévy Process ◽  
Optimal Dividend

scholarly journals All about the ⊥ with its applications in the linear statistical models

2015 ◽  
Vol 13 (1) ◽  
Author(s):  
Augustyn Markiewicz ◽  
Simo Puntanen
Keyword(s):  
Statistical Models ◽  
Inner Product ◽  
Real Matrix ◽  
Inner Products ◽  
Column Space ◽  
The Matrix ◽  
Linear Statistical Models ◽  
Extensive List

Abstract For an n x m real matrix A the matrix A⊥ is defined as a matrix spanning the orthocomplement of the column space of A, when the orthogonality is defined with respect to the standard inner product ⟨x, y⟩ = x'y. In this paper we collect together various properties of the ⊥ operation and its applications in linear statistical models. Results covering the more general inner products are also considered. We also provide a rather extensive list of references

scholarly journals Limit Theory for High Frequency Sampled MCARMA Models

2014 ◽  
Vol 46 (3) ◽  
pp. 846-877 ◽  
Author(s):  
Vicky Fasen
Keyword(s):  
Asymptotic Behavior ◽  
High Frequency ◽  
Lévy Process ◽  
Asymptotic Properties ◽  
Domain Of Attraction ◽  
Levy Process ◽  
Sample Variance ◽  
Limit Theory ◽  
Second Moments ◽  
Time Grid

We consider a multivariate continuous-time ARMA (MCARMA) process sampled at a high-frequency time grid {hn, 2hn,…, nhn}, where hn ↓ 0 and nhn → ∞ as n → ∞, or at a constant time grid where hn = h. For this model, we present the asymptotic behavior of the properly normalized partial sum to a multivariate stable or a multivariate normal random vector depending on the domain of attraction of the driving Lévy process. Furthermore, we derive the asymptotic behavior of the sample variance. In the case of finite second moments of the driving Lévy process the sample variance is a consistent estimator. Moreover, we embed the MCARMA process in a cointegrated model. For this model, we propose a parameter estimator and derive its asymptotic behavior. The results are given for more general processes than MCARMA processes and contain some asymptotic properties of stochastic integrals.

scholarly journals Last Exit Before an Exponential Time for Spectrally Negative Lévy Processes

2009 ◽  
Vol 46 (02) ◽  
pp. 542-558 ◽  
Author(s):  
E. J. Baurdoux
Keyword(s):  
Laplace Transform ◽  
Lévy Process ◽  
Risk Process ◽  
Levy Process ◽  
Risk Theory ◽  
Exponential Time ◽  
Main Motivation ◽  
Spectrally Negative Lévy Process ◽  
The Laplace Transform ◽  
Spectrally Negative Lévy Processes

Chiu and Yin (2005) found the Laplace transform of the last time a spectrally negative Lévy process, which drifts to ∞, is below some level. The main motivation for the study of this random time stems from risk theory: what is the last time the risk process, modeled by a spectrally negative Lévy process drifting to ∞, is 0? In this paper we extend the result of Chiu and Yin, and we derive the Laplace transform of the last time, before an independent, exponentially distributed time, that a spectrally negative Lévy process (without any further conditions) exceeds (upwards or downwards) or hits a certain level. As an application, we extend a result found in Doney (1991).

scholarly journals A factorization of a Lévy process over a phase-type horizon

2018 ◽  
Vol 34 (4) ◽  
pp. 397-408 ◽  
Author(s):  
Søren Asmussen ◽  
Jevgenijs Ivanovs
Keyword(s):  
Lévy Process ◽  
Levy Process ◽  
Phase Type
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