کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155838 958775 2012 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Study of dependence for some stochastic processes: Symbolic Markov copulae
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Study of dependence for some stochastic processes: Symbolic Markov copulae
چکیده انگلیسی

We study dependence between components of multivariate (nice Feller) Markov processes: what conditions need to be satisfied by a multivariate Markov process so that its components are Markovian with respect to the filtration of the entire process and such that they follow prescribed laws? To answer this question, we introduce a symbolic approach, which is rooted in the concept of pseudo-differential operator (PDO). We investigate connections between dependence, in the sense described above, and the PDOs. In particular, we study the problem of constructing a multivariate nice Feller process with given marginal laws in terms of symbols of the related PDOs. This approach leads to relatively simple conditions, which provide solutions to this problem.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 3, March 2012, Pages 930–951
نویسندگان
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