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

Citations

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Cited by:

  1. Brockwell, Peter J. & Lindner, Alexander, 2009. "Existence and uniqueness of stationary Lévy-driven CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2660-2681, August.
  2. 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.
  3. 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.
  4. 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.
  5. Tong, Changqing & Lin, Zhengyan & Zheng, Jing, 2012. "The local time of the Markov processes of Ornstein–Uhlenbeck type," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1229-1234.
  6. 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.
  7. Möhle, Martin & Vetter, Benedict, 2023. "Scaling limits for a class of regular Ξ-coalescents," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 387-422.
  8. Pérez-Abreu, Victor & Stelzer, Robert, 2014. "Infinitely divisible multivariate and matrix Gamma distributions," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 155-175.
  9. Behme, Anita & Lindner, Alexander, 2012. "Multivariate generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1487-1518.
  10. Fasen, Vicky, 2013. "Statistical estimation of multivariate Ornstein–Uhlenbeck processes and applications to co-integration," Journal of Econometrics, Elsevier, vol. 172(2), pages 325-337.
  11. Zhang, Xinsheng, 2007. "On stochastic ordering for diffusion with jumps and applications," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 614-620, March.
  12. T. Ogihara & N. Yoshida, 2011. "Quasi-likelihood analysis for the stochastic differential equation with jumps," Statistical Inference for Stochastic Processes, Springer, vol. 14(3), pages 189-229, October.
  13. 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.
  14. Barndorff-Nielsen, Ole E. & Maejima, Makoto, 2008. "Semigroups of Upsilon transformations," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2334-2343, December.
  15. 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.
  16. Brockwell, Peter J. & Lindner, Alexander, 2015. "Prediction of Lévy-driven CARMA processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 263-271.
  17. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
  18. Kevei, Péter, 2018. "Ergodic properties of generalized Ornstein–Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 156-181.
  19. Jianhai Bao & Jian Wang, 2023. "Coupling methods and exponential ergodicity for two‐factor affine processes," Mathematische Nachrichten, Wiley Blackwell, vol. 296(5), pages 1716-1736, May.
  20. 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.
  21. Marquardt, Tina & Stelzer, Robert, 2007. "Multivariate CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 117(1), pages 96-120, January.
  22. 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.
  23. 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.
  24. Xiaowei Zhang & Peter W. Glynn, 2018. "Affine Jump-Diffusions: Stochastic Stability and Limit Theorems," Papers 1811.00122, arXiv.org.
  25. 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.
  26. 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.
  27. Arturo Kohatsu & Makoto Yamazato, 2003. "On moments and tail behaviors of storage processes," Economics Working Papers 673, Department of Economics and Business, Universitat Pompeu Fabra.
  28. Kulik, Alexey M., 2011. "Asymptotic and spectral properties of exponentially [phi]-ergodic Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1044-1075, May.
  29. Anita Behme & Alexander Lindner, 2015. "On Exponential Functionals of Lévy Processes," Journal of Theoretical Probability, Springer, vol. 28(2), pages 681-720, June.
  30. Makoto Maejima & Jan Rosiński & Yohei Ueda, 2015. "Stochastic Integral and Series Representations for Strictly Stable Distributions," Journal of Theoretical Probability, Springer, vol. 28(3), pages 989-1006, September.
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