Study of dependence for some stochastic processes: symbolic Markov copulae (Q765883)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Study of dependence for some stochastic processes: symbolic Markov copulae |
scientific article |
Statements
Study of dependence for some stochastic processes: symbolic Markov copulae (English)
0 references
22 March 2012
0 references
The authors study dependence between components of multivariate nice Feller processes, that is, Feller processes with the additional property that the test functions are contained in the domain of the generator. The main question under consideration is: what conditions need to be satisfied by a Markov process with values in \(\mathbb{R}^n\) so that its components are Markovian with respect to the filtration of the entire process and such that they follow prescribed laws? In order to answer this question, the authors introduce a symbolic approach, which relies on the concept of pseudo-differential operator (PDO). They investigate connections between dependence, in the sense described above, and the PDOs. The most important tool in this context is the symbol of the process. This approach leads to relatively simple conditions, which provide solutions to the problem. Examples include the Poisson copula, generalized n-dimensional Markov point processes and Markov jump processes.
0 references
Markov process
0 references
Feller process
0 references
Markov consistency
0 references
Markov copulae
0 references
dependence
0 references
pseudo-differential operator
0 references
marginal laws
0 references
symbol
0 references