Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
Processes of Ornstein-Uhlenbeck type on d are analogues of the Ornstein-Uhlenbeck process on d with the Brownian motion part replaced by general processes with homogeneous independent increments. The class of operator-selfdecomposable distributions of Urbanik is characterized as the class of limit distributions of such processes. Continuity of the correspondence is proved. Integro-differential equations for operator-selfdecomposable distributions are established. Examples are given for null recurrence and transience of processes of Ornstein-Uhlenbeck type on 1.
Year of publication: |
1984
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Authors: | Sato, Ken-iti ; Yamazato, Makoto |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 17.1984, 1, p. 73-100
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Publisher: |
Elsevier |
Keywords: | infinitely divisible distribution OL distribution operator-selfdecomposable distribution limit distribution process of Ornstein-Uhlenbeck type Lévy measure |
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