Some Classes of Proper Integrals and Generalized Ornstein-Uhlenbeck Processes

被引：1
|
作者：
Basse-O'Connor, Andreas [1 ]
Graversen, Svend-Erik [2 ]
Pedersen, Jan [2 ]
机构：
[1] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA
[2] Univ Aarhus, Dept Math Sci, DK-8000 Aarhus C, Denmark
来源：
SEMINAIRE DE PROBABILITES XLIV | 2012年 / 2046卷
关键词：
Stochastic integration; Levy processes; Generalized Ornstein-Uhlenbeck processes; CONTINUITY PROPERTIES; LEVY PROCESSES;
D O I：
10.1007/978-3-642-27461-9_3
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We give necessary and sufficient conditions for existence of proper integrals from 0 to infinity or from minus infinity to 0 of one exponentiated Levy process with respect to another Levy process. The results are related to the existence of stationary generalized Ornstein-Uhlenbeck processes. Finally, in the square integrable case the Wold-Karhunen representation is given.
引用
收藏
页码：61 / 74
页数：14
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