IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v94y2014icp192-195.html
   My bibliography  Save this article

Remarks on the factorization property of some random integrals

Author

Listed:
  • Jurek, Zbigniew J.

Abstract

Two families of improper random integrals and the two corresponding convolution semigroups of infinitely divisible laws are studied. A relation (a factorization property) between those random integrals is established. For the proof we use the method of the random integral mappingsI(a,b]h,r that is also valid for infinitely divisible measures on Banach spaces. Furthermore, using that technique we established new relations between those two families of random integrals.

Suggested Citation

  • Jurek, Zbigniew J., 2014. "Remarks on the factorization property of some random integrals," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 192-195.
    • Handle: RePEc:eee:stapro:v:94:y:2014:i:c:p:192-195
    DOI: 10.1016/j.spl.2014.07.021
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167715214002594
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spl.2014.07.021?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Wolfe, Stephen James, 1982. "On a continuous analogue of the stochastic difference equation Xn=[rho]Xn-1+Bn," Stochastic Processes and their Applications, Elsevier, vol. 12(3), pages 301-312, May.
    2. Kumar, Arunod & Schreiber, Bertram M., 1979. "Representation of certain infinitely divisible probability measures on Banach spaces," Journal of Multivariate Analysis, Elsevier, vol. 9(2), pages 288-303, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jurek, Zbigniew J., 2018. "Remarks on compositions of some random integral mappings," Statistics & Probability Letters, Elsevier, vol. 137(C), pages 277-282.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Taufer, Emanuele & Leonenko, Nikolai, 2009. "Simulation of Lvy-driven Ornstein-Uhlenbeck processes with given marginal distribution," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2427-2437, April.
    2. 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.
    3. Wang, Xiaolong & Feng, Jing & Liu, Qi & Li, Yongge & Xu, Yong, 2022. "Neural network-based parameter estimation of stochastic differential equations driven by Lévy noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
    4. Bhatti, T. & Kern, P., 2017. "An integral representation of dilatively stable processes with independent increments," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 209-227.
    5. Borovkov, Konstantin & Novikov, Alexander, 2008. "On exit times of Lévy-driven Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1517-1525, September.
    6. Brockwell, Peter J. & Lindner, Alexander, 2015. "Prediction of Lévy-driven CARMA processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 263-271.
    7. Hinderks, W.J. & Wagner, A., 2020. "Factor models in the German electricity market: Stylized facts, seasonality, and calibration," Energy Economics, Elsevier, vol. 85(C).
    8. Grahovac, Danijel & Leonenko, Nikolai N. & Taqqu, Murad S., 2019. "Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5113-5150.
    9. 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.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:94:y:2014:i:c:p:192-195. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.