On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes

DOI10.1007/S00440-010-0296-5MaRDI QIDQ644787zbMATH OpenOpenAlexFDO

Authors Thomas Simon

Publication date 7 November 2011

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0908.3736

zbMATH Keywords

controllabilityabsolute continuitymultivariate Poisson measureOrnstein-Uhlenbeck process with jumps

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuity and singularity of induced measures (60G30)

Abstract: Let $X$ be a $n$-dimensional Ornstein-Uhlenbeck process, solution of the S.D.E. ${\displaystyle }$d X_t = AX_t d t + d B_t${\displaystyle }$ where $A$ is a real $nimesn$ matrix and $B$ a L'evy process without Gaussian part. We show that when $A$ is non-singular, the law of $X_1$ is absolutely continuous in ${}^n$ if and only if the jumping measure of $B$ fulfils a certain geometric condition with respect to $A,$ which we call the exhaustion property. This optimal criterion is much weaker than for the background driving L'evy process $B$, which might be very singular and sometimes even have a one-dimensional discrete jumping measure. It also solves a difficult problem for a certain class of multivariate Non-Gaussian infinitely divisible distributions.

Recommendations

• Densities for Ornstein-Uhlenbeck processes with jumps
• Conditions for the existence and smoothness of the distribution density of the Ornstein-Uhlenbeck process with Lévy noise
• On the absolute continuity of Lévy processes with drift
• Absolute continuity conditions for multivariate infinitely divisible distributions and their applications
• Absolute continuity of a law of an Itô process driven by a Lévy process to another Itô process

Cites work

• scientific article; zbMATH DE number 1639850 (Why is no real title available?)
• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 3661177 (Why is no real title available?)
• scientific article; zbMATH DE number 3776332 (Why is no real title available?)
• scientific article; zbMATH DE number 735764 (Why is no real title available?)
• scientific article; zbMATH DE number 1131457 (Why is no real title available?)
• scientific article; zbMATH DE number 796421 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3280855 (Why is no real title available?)
• Absolute continuity of operator-self-decomposable distributions on \(R^ n\)
• Conditions for the existence and smoothness of the distribution density of the Ornstein-Uhlenbeck process with Lévy noise
• Densities for Ornstein-Uhlenbeck processes with jumps
• Extended Chebyshev systems for the expansions of exp(At)
• Multidimensional process of Ornstein-Uhlenbeck type with nondiagonalizable matrix in linear drift terms
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On the absolute continuity of Lévy processes with drift
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations

Cited in

(17)

• Fundamental solutions of nonlocal Hörmander's operators
• Absolute continuity conditions for multivariate infinitely divisible distributions and their applications
• On the integral modulus of continuity of infinitely divisible distributions, especially of stochastic integrals
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Sato's conjecture on recurrence conditions for multidimensional processes of Ornstein-Uhlenbeck type
• Conditions of smoothness for the distribution density of a solution of a multidimensional linear stochastic differential equation with Lévy noise
• Control of linear dynamical systems by time transformations
• scientific article; zbMATH DE number 1443276 (Why is no real title available?)
• scientific article; zbMATH DE number 4211179 (Why is no real title available?)
• On the absolute continuity of Lévy processes with drift
• Conditions for the existence and smoothness of the distribution density of the Ornstein-Uhlenbeck process with Lévy noise
• On the Exponential Ergodicity of Lévy-Driven Ornstein–Uhlenbeck Processes
• Geometric ergodicity of affine processes on cones
• scientific article; zbMATH DE number 500410 (Why is no real title available?)
• On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
• Absolute continuity of distributions of one-dimensional Lévy processes
• Densities for Ornstein-Uhlenbeck processes with jumps

This page was built for publication: On the absolute continuity of multidimensional Ornstein-Uhlenbeck processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q644787)