Stationary, Markov, stochastic processes with polynomial conditional moments and continuous paths
From MaRDI portal
Publication:6402980
arXiv2206.11798MaRDI QIDQ6402980FDOQ6402980
Authors: Paweł Jerzy Szabłowski 
Publication date: 23 June 2022
Abstract: We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not have to care about the distribution of their jumps which is always difficult to find. Among them are the Ornstein-Uhlenbeck process, the Gamma process, the process with Arcsin margins and the Theta function transition densities and others. We give a simple criterion for the stationary process to have a continuous path modification expressed in terms of skewness and excess kurtosis of the marginal distribution.
Stationary stochastic processes (60G10) Sample path properties (60G17) Martingales with continuous parameter (60G44) Transition functions, generators and resolvents (60J35)
This page was built for publication: Stationary, Markov, stochastic processes with polynomial conditional moments and continuous paths
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6402980)
