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The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes

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  • Endo, Kotaro
  • Matsui, Muneya

Abstract

The multidimensional generalized Ornstein-Uhlenbeck process is defined as an extended version of the generalized Ornstein-Uhlenbeck process of which integral is with respect to a multidimensional Lévy process. The condition for the stationarity of the process and that for the convergence are respectively studied. The relationship between these two conditions is also clarified.

Suggested Citation

  • Endo, Kotaro & Matsui, Muneya, 2008. "The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2265-2272, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:14:p:2265-2272
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    References listed on IDEAS

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    1. Lindner, Alexander & Maller, Ross, 2005. "Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 115(10), pages 1701-1722, October.
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