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Mathematics > Probability

arXiv:1805.03080 (math)
[Submitted on 8 May 2018 (v1), last revised 16 May 2019 (this version, v2)]

Title:Association and other forms of positive dependence for Feller evolution systems

Authors:Eddie Tu
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Abstract:We characterize various forms of positive dependence for a general class of time-inhomogeneous Markov processes called Feller evolution processes (FEPs) and for jump-FEPs. General FEPs can be studied through their time and state-space dependent (extended) generators. We will use the time and state-space dependent (extended) generators and time and state-space dependent Levy measures to characterize the positive dependence of general FEPs and jump-FEPs, respectively. Finally, we present applications of these results to additive processes, which are time-inhomogeneous Levy processes, often arising as useful examples in financial modeling.
Comments: 22 pages
Subjects: Probability (math.PR)
MSC classes: primary: 60J75, secondary: 60E07, 60E15, 60J25, 60J35
Cite as: arXiv:1805.03080 [math.PR]
  (or arXiv:1805.03080v2 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1805.03080

Submission history

From: Eddie Tu [view email]
[v1] Tue, 8 May 2018 14:59:40 UTC (26 KB)
[v2] Thu, 16 May 2019 01:47:54 UTC (96 KB)
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