Asymptotic properties of extremal Markov processes driven by Kendall convolution (Q6071172): Difference between revisions

Kendall convolution is a binary operation that, applied to two identical point-mass measures, gives a Pareto distribution. The main goal of the authors is to study finite dimensional distributions and asymptotic properties of extremal Markov process called Kendall random walk, constructed using Kendall convolution. Regular variation techiniques are used to investigate asymptotic behaviour of Kendall random walks and convergence of the finite dimensional distributions of continuous time stochastic processes constructed from Kendall random walks. Most of the proofs are based on the application of the Williamson transform, which is a generalised characteristic function of the probability measure in the Kendall algebra.