Large jumps of \(q\)-Ornstein-Uhlenbeck processes

DOI10.1016/j.spl.2016.06.025zbMath1347.60117arXiv1603.09685OpenAlexW2963894177MaRDI QIDQ312098

Yizao Wang

Publication date: 13 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.09685

zbMATH Keywords

sample pathsMarkov processesextreme value theorymixing condition\(q\)-Ornstein-Uhlenbeck processesdouble-sum methodPoisson limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60) Sample path properties (60G17)

Related Items

Extremes of \(q\)-Ornstein-Uhlenbeck processes

Cites Work

• On the structure and probabilistic interpretation of Askey-Wilson densities and polynomials with complex parameters
• Basic properties of strong mixing conditions. A survey and some open questions
• Extremes and related properties of random sequences and processes
• Probability approximations via the Poisson clumping heuristic
• Poisson approximation for dependent trials
• \(q\)-Gaussian processes: Non-commutative and classical aspects
• Processes with free increments
• Conditional moments of \(q\)-Meixner processes
• The local structure of $q$-Gaussian processes
• Quadratic harnesses, $q$-commutations, and orthogonal martingale polynomials
• THE LOCAL STRUCTURE OF RANDOM PROCESSES
• $q$-Wiener and $(\alpha,q)$-Ornstein--Uhlenbeck Processes. A Generalization of Known Processes
• Brownian Motion
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item