Association and Other Forms of Positive Dependence for Feller Evolution Systems
Public DepositedTu, E. Association and Other Forms of Positive Dependence for Feller Evolution Systems.
Theory of Probability & Its Applications 66, no. 2 (2021): 299-317. https://epubs.siam.org/doi/abs/10.1137/S0040585X97T99040X
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We prove characterizations of positive dependence for a general class of time-inhomogeneous Markov processes called Feller evolution processes (FEPs) and for jump-FEPs. General FEPs can be analyzed through their time and state-space dependent (extended) generators. We will use the time and state-space dependent (extended) generators and time and state-space dependent Lévy measures to characterize the positive dependence of general FEPs and jump-FEPs, respectively. We conclude with applications of these results to additive processes, which are time-inhomogeneous Lévy processes, often arising as useful examples in financial modeling.
MLA citation style (9th ed.)
. 2021. dickinson.hykucommons.org/concern/generic_works/4ad3eb62-2ec9-497a-9251-e870eab65d8e. Association and Other Forms of Positive Dependence for Feller Evolution Systems.APA citation style (7th ed.)
(2021). Association and Other Forms of Positive Dependence for Feller Evolution Systems. https://dickinson.hykucommons.org/concern/generic_works/4ad3eb62-2ec9-497a-9251-e870eab65d8eChicago citation style (CMOS 17, author-date)
Association and Other Forms of Positive Dependence for Feller Evolution Systems. 2021. https://dickinson.hykucommons.org/concern/generic_works/4ad3eb62-2ec9-497a-9251-e870eab65d8e.Note: These citations are programmatically generated and may be incomplete.