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A family of Markov processes in maximal compact subgroups of a semisimple Lie groups

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  • Arafat, Ahmed
  • Mateu, Jorge
  • Gregori, Pablo

Abstract

We propose and define a family of marked point processes in noncompact semisimple Lie groups. We first generate Lévy processes via marked point processes by using jump–diffusion processes. Then we build a family of Markov processes in a maximal compact subgroup of a given semisimple Lie group.

Suggested Citation

  • Arafat, Ahmed & Mateu, Jorge & Gregori, Pablo, 2017. "A family of Markov processes in maximal compact subgroups of a semisimple Lie groups," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 132-138.
    • Handle: RePEc:eee:stapro:v:126:y:2017:i:c:p:132-138
    DOI: 10.1016/j.spl.2017.03.004
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    References listed on IDEAS

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    1. Ahn, Chang Mo & Thompson, Howard E, 1988. " Jump-Diffusion Processes and the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 43(1), pages 155-174, March.
    2. Tomas Björk & Yuri Kabanov & Wolfgang Runggaldier, 1997. "Bond Market Structure in the Presence of Marked Point Processes," Mathematical Finance, Wiley Blackwell, vol. 7(2), pages 211-239, April.
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