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Study of dependence for some stochastic processes: Symbolic Markov copulae

Author

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  • Bielecki, Tomasz R.
  • Jakubowski, Jacek
  • Niewȩgłowski, Mariusz

Abstract

We study dependence between components of multivariate (nice Feller) Markov processes: what conditions need to be satisfied by a multivariate Markov process so that its components are Markovian with respect to the filtration of the entire process and such that they follow prescribed laws? To answer this question, we introduce a symbolic approach, which is rooted in the concept of pseudo-differential operator (PDO). We investigate connections between dependence, in the sense described above, and the PDOs. In particular, we study the problem of constructing a multivariate nice Feller process with given marginal laws in terms of symbols of the related PDOs. This approach leads to relatively simple conditions, which provide solutions to this problem.

Suggested Citation

  • Bielecki, Tomasz R. & Jakubowski, Jacek & Niewȩgłowski, Mariusz, 2012. "Study of dependence for some stochastic processes: Symbolic Markov copulae," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 930-951.
    • Handle: RePEc:eee:spapps:v:122:y:2012:i:3:p:930-951
    DOI: 10.1016/j.spa.2011.11.001
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    Cited by:

    1. Bielecki, Tomasz R. & Jakubowski, Jacek & Niewęgłowski, Mariusz, 2017. "Conditional Markov chains: Properties, construction and structured dependence," Stochastic Processes and their Applications, Elsevier, vol. 127(4), pages 1125-1170.

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