Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes

DOI10.1214/08-AOP402zbMath1173.60007arXiv0804.4258MaRDI QIDQ1011157

Alexander M. Lindner, Ken-iti Sato

Publication date: 8 April 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.4258

zbMATH Keywords

Lévy process; infinite divisibility; generalized Ornstein-Uhlenbeck process; decomposable distribution; Peres-Solomyak (P.S.) number; Pisot-Vijayaraghavan (P.V.) number; symmetrization of distribution

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

60G10: Stationary stochastic processes

60G30: Continuity and singularity of induced measures

Related Items

Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise, Selfdecomposability and semi-selfdecomposability in subordination of cone-parameter convolution semigroups, A new formula for some linear stochastic equations with applications, Properties of stationary distributions of a sequence of generalized Ornstein-Uhlenbeck processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Continuity properties of decomposable probability measures on Euclidean spaces
• Ruin theory with compounding assets -- a survey
• Nested classes of \(C\)-decomposable laws
• Absolute continuity of some semi-selfdecomposable distributions and self-similar measures
• Embedding a stochastic difference equation into a continuous-time process
• Present value distributions with applications to ruin theory and stochastic equations
• Some properties of exponential integrals of Levy processes and examples
• Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
• On decomposability semigroups on the real line
• Self-similar measures and intersections of Cantor sets
• Infinite Divisibility of Integer-Valued Random Variables
• Exponential functionals of Brownian motion and related processes