Generalised liouville processes and their properties

DOI10.1017/JPR.2020.61MaRDI QIDQ5139919zbMATH OpenOpenAlexFDO

Authors Edward Hoyle, Levent Ali Mengütürk

Publication date 11 December 2020

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.11312

zbMATH Keywords

Lévy bridgeLévy processMarkov processmultivariate Liouville distribution

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Continuous-time Markov processes on general state spaces (60J25)

Abstract: We define a new family of multivariate stochastic processes over a finite time horizon that we call Generalised Liouville Processes (GLPs). GLPs are Markov processes constructed by splitting L'evy random bridges into non-overlapping subprocesses via time changes. We show that the terminal values and the increments of GLPs have generalised multivariate Liouville distributions, justifying their name. We provide various other properties of GLPs and some examples.

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Cited in

(7)

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• On Doob h-transformations for finite-time quantum state reduction
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach

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