Semigroups of Upsilon transformations

Ole Barndorff-Nielsen and Makoto Maejima

Stochastic Processes and their Applications, 2008, vol. 118, issue 12, 2334-2343

Abstract: Upsilon transformations satisfying certain regularity conditions are shown to generate semigroups of such transformations. This is based on a general commutativity property of the Upsilon transformations, and uses log infinite divisibility. The existence of random integral representations of Upsilon transformations and of the generated semigroups is also discussed.

Keywords: Infinite; divisibility; Random; integral; representation (search for similar items in EconPapers)
Date: 2008
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