Study of dependence for some stochastic processes: symbolic Markov copulae

DOI10.1016/J.SPA.2011.11.001MaRDI QIDQ765883zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski

Publication date 22 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2011.11.001

zbMATH Keywords

dependenceFeller processmarginal lawsMarkov consistencyMarkov copulaeMarkov processpseudo-differential operatorsymbol

Mathematics Subject Classification ID

Pseudodifferential operators as generalizations of partial differential operators (35S05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on general state spaces (60J25)

Review text

The authors study dependence between components of multivariate nice Feller processes, that is, Feller processes with the additional property that the test functions are contained in the domain of the generator. The main question under consideration is: what conditions need to be satisfied by a Markov process with values in \(\mathbb{R}^n\) so that its components are Markovian with respect to the filtration of the entire process and such that they follow prescribed laws? In order to answer this question, the authors introduce a symbolic approach, which relies on the concept of pseudo-differential operator (PDO). They investigate connections between dependence, in the sense described above, and the PDOs. The most important tool in this context is the symbol of the process. This approach leads to relatively simple conditions, which provide solutions to the problem. Examples include the Poisson copula, generalized n-dimensional Markov point processes and Markov jump processes.

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Cited in

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• Tensor approximation of generalized correlated diffusions and functional copula operators
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• The Markov consistency of Archimedean survival processes
• Study of Dependence for Some Stochastic Processes
• Association and other forms of positive dependence for Feller evolution systems
• Inhomogeneous time change equations for Markov chains and their applications
• Conditional Markov chains: properties, construction and structured dependence
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

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