Student's \(t\)-distribution and related stochastic processes (Q444336)

This volume of the Springer Briefs Series gives a largely self-contained introduction to infinitely divisible Student's \(t\)-distributions and associated Lévy processes and diffusions. These processes arise in applications such as communication networks, stochastic volatility in finance or neurology and recently attracted considerable interest. This note collects many results (many of them to which the author contributed) in a unified context and provides a good overview over the current literature on this subject. Chapter 2 provides the tail asymptotics of Student's \(t\)-distribution and limit theorems for extremal and record values. Chapter 3 presents the theory of Lévy processes in law and their one-to-one correspondence with infinitely divisible distributions via the Lévy-Chinchine formula. The author introduces the so-called Thorin classes of subordinators and applies them in order to obtain Student's \(t\)-distribution as a Thorin-subordinated Gaussian Lévy process in Chapter 4. Chapter 5 is dedicated to Lévy-Ornstein-Uhlenbeck processes and their invariant measures. Chapter 6 treats H-diffusions, a class of strictly stationary, scalar diffusions on an inverval. In case of Student's distributions, the author derives the asymptotic distributions of extremal values, in particular the Kolmogorov-Pearson distribution is studied in detail. Chapter 7 finishes these notes with the calculation of mixed moments of Student's \(t\)-distributions, long-range dependence of stationary student's diffusions as well a short section on Lévy copulas.