Embedding a stochastic difference equation into a continuous-time process

DOI10.1016/0304-4149(89)90077-XMaRDI QIDQ1822836zbMATH OpenFDO

Authors Laurens De Haan, Rajeeva L. Karandikar

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

infinite divisibilitystochastic difference equationembeddingprocess with stationary and independent incrementsstationary initial distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Continuous-time Markov processes on general state spaces (60J25) Stochastic analysis (60H99)

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Cites work

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• Calcul stochastique et problèmes de martingales
• Les inegalites de sous-martingales, comme consequences de la relation de domination
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
• Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques
• Stochastic integration w.r.t. continuous local martingales

Cited in

(14)

• Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
• On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
• Ergodic properties of generalized Ornstein-Uhlenbeck processes
• Multivariate generalized Ornstein-Uhlenbeck processes
• Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Weak limits of random coefficient autoregressive processes and their application in ruin theory
• Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
• scientific article; zbMATH DE number 6703664 (Why is no real title available?)
• Continuity properties and the support of killed exponential functionals
• On the law of killed exponential functionals

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