Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

Citations

Cited by:

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6. Shukai Chen, 2023. "On the Exponential Ergodicity of (2+2)-Affine Processes in Total Variation Distances," Journal of Theoretical Probability, Springer, vol. 36(1), pages 315-330, March.
7. Uehara, Yuma, 2019. "Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4051-4081.
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11. Maejima, Makoto & Ueda, Yohei, 2010. "[alpha]-selfdecomposable distributions and related Ornstein-Uhlenbeck type processes," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2363-2389, December.
12. Xiaowei Zhang & Peter W. Glynn, 2018. "Affine Jump-Diffusions: Stochastic Stability and Limit Theorems," Papers 1811.00122, arXiv.org.
13. Valentin Courgeau & Almut E. D. Veraart, 2022. "Likelihood theory for the graph Ornstein-Uhlenbeck process," Statistical Inference for Stochastic Processes, Springer, vol. 25(2), pages 227-260, July.
14. Anita Behme & Alexander Lindner, 2015. "On Exponential Functionals of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 681-720, June.
15. Duhalde, Xan & Foucart, Clément & Ma, Chunhua, 2014. "On the hitting times of continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4182-4201.
16. Keller-Ressel, Martin & Mijatović, Aleksandar, 2012. "On the limit distributions of continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2329-2345.
17. Zheng, Jing & Lin, Zhengyan & Tong, Changqing, 2009. "The Hausdorff dimension of the range for the Markov processes of Ornstein–Uhlenbeck type," Chaos, Solitons & Fractals, Elsevier, vol. 42(4), pages 2008-2013.
18. P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
19. Behme, Anita & Lindner, Alexander, 2012. "Multivariate generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1487-1518.
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23. Brockwell, Peter J. & Lindner, Alexander, 2015. "Prediction of Lévy-driven CARMA processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 263-271.
24. Kevei, Péter, 2018. "Ergodic properties of generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 156-181.
25. Martin Keller-Ressel & Thomas Steiner, 2007. "Yield Curve Shapes and the Asymptotic Short Rate Distribution in Affine One-Factor Models," Papers 0704.0567, arXiv.org, revised Nov 2007.
26. Pakkanen, Mikko S. & Sottinen, Tommi & Yazigi, Adil, 2017. "On the conditional small ball property of multivariate Lévy-driven moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 749-782.
27. Jan-Frederik Mai & Steffen Schenk & Matthias Scherer, 2017. "Two Novel Characterizations of Self-Decomposability on the Half-Line," Journal of Theoretical Probability, Springer, vol. 30(1), pages 365-383, March.
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