\(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes

DOI10.1016/j.spa.2010.08.005zbMath1203.60021arXiv0911.3449OpenAlexW1991457270MaRDI QIDQ608213

Yohei Ueda, Makoto Maejima

Publication date: 25 November 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3449

zbMATH Keywords

infinitely divisible distributionLévy processstochastic integral representationOrnstein-Uhlenbeck type processLangevin type equationselfdecomposable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Related Items (8)

Inversions of infinitely divisible distributions and conjugates of stochastic integral mappings ⋮ An integral representation of dilatively stable processes with independent increments ⋮ Weak drifts of infinitely divisible distributions and their applications ⋮ \(\alpha \)-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes ⋮ A note on a bivariate gamma distribution ⋮ Nested subclasses of the class of \(\alpha\)-selfdecomposable distributions ⋮ Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities ⋮ Classes of Infinitely Divisible Distributions and Examples

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