On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes (Q605021): Difference between revisions

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scientific article

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English	On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes	scientific article

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instance of

scholarly article

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title

On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes (English)

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12 November 2010

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full work available at URL

https://arxiv.org/abs/0909.0851

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zbMATH Keywords

completely positive matrix

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matrix subordinator

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normal mixture

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operator self-decomposable distributions

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positive semidefinite Ornstein-Uhlenbeck type process

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quadratic variation

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second order structure

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stationary distribution

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MaRDI profile type

Publication

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cites work

Some stationary processes in discrete and continuous time

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Extensions of Type G and Marginal Infinite Divisibility

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Matrix Subordinators and Related Upsilon Transformations

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes

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Q5420974

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Complete positivity

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Q4405832

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Positive semidefinite biquadratic forms

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Q4275389

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Q4040931

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Statistical properties of the generalized inverse Gaussian distribution

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Q4863604

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Linear Preserver Problems

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Type \(G\) distributions on \({\mathbb R}^d\)

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The commutation matrix: Some properties and applications

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Multivariate CARMA processes

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On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process

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On the Matrix Equation X′X = A

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Semimartingales: A course on stochastic processes

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Q3914121

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On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes

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Q4935943

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Q4435813

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Spectral representations of infinitely divisible processes

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Q4115333

0 references

Q4937701

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Additive processes and stochastic integrals

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Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

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Positive operators and an inertia theorem

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Q3999823

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Periodic Sigma Functions

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Completely positive matrices.

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Absolute continuity of operator-self-decomposable distributions on \(R^ n\)

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Identifiers

zbMATH Open document ID

1221.60074

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DOI

10.3150/08-BEJ175

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:605021

@@ Property / cites work @@
+Some stationary processes in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Extensions of Type G and Marginal Infinite Divisibility
+Normal rank
@@ Property / cites work @@
+Matrix Subordinators and Related Upsilon Transformations
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
+Normal rank
@@ Property / cites work @@
+Q5420974
@@ Property / cites work: Q5420974 / rank @@
+Normal rank
@@ Property / cites work @@
+Complete positivity
@@ Property / cites work: Complete positivity / rank @@
+Normal rank
@@ Property / cites work @@
+Q4405832
@@ Property / cites work: Q4405832 / rank @@
+Normal rank
@@ Property / cites work @@
+Positive semidefinite biquadratic forms
@@ Property / cites work: Positive semidefinite biquadratic forms / rank @@
+Normal rank
@@ Property / cites work @@
+Q4275389
@@ Property / cites work: Q4275389 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040931
@@ Property / cites work: Q4040931 / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical properties of the generalized inverse Gaussian distribution
+Normal rank
@@ Property / cites work @@
+Q4863604
@@ Property / cites work: Q4863604 / rank @@
+Normal rank
@@ Property / cites work @@
+Linear Preserver Problems
@@ Property / cites work: Linear Preserver Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Type \(G\) distributions on \({\mathbb R}^d\)
@@ Property / cites work: Type \(G\) distributions on \({\mathbb R}^d\) / rank @@
+Normal rank
@@ Property / cites work @@
+The commutation matrix: Some properties and applications
+Normal rank
@@ Property / cites work @@
+Multivariate CARMA processes
@@ Property / cites work: Multivariate CARMA processes / rank @@
+Normal rank
@@ Property / cites work @@
+On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
+Normal rank
@@ Property / cites work @@
+On the Matrix Equation <i>X</i>′<i>X</i> = <i>A</i>
+Normal rank
@@ Property / cites work @@
+Semimartingales: A course on stochastic processes
@@ Property / cites work: Semimartingales: A course on stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q3914121
@@ Property / cites work: Q3914121 / rank @@
+Normal rank
@@ Property / cites work @@
+On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
+Normal rank
@@ Property / cites work @@
+Q4935943
@@ Property / cites work: Q4935943 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral representations of infinitely divisible processes
+Normal rank
@@ Property / cites work @@
+Q4115333
@@ Property / cites work: Q4115333 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Additive processes and stochastic integrals
@@ Property / cites work: Additive processes and stochastic integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Positive operators and an inertia theorem
@@ Property / cites work: Positive operators and an inertia theorem / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999823
@@ Property / cites work: Q3999823 / rank @@
+Normal rank
@@ Property / cites work @@
+Periodic Sigma Functions
@@ Property / cites work: Periodic Sigma Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Completely positive matrices.
@@ Property / cites work: Completely positive matrices. / rank @@
+Normal rank
@@ Property / cites work @@
+Absolute continuity of operator-self-decomposable distributions on \(R^ n\)
+Normal rank