Study of dependence for some stochastic processes: Symbolic Markov copulae

Tomasz R. Bielecki, Jacek Jakubowski and Mariusz Niewȩgłowski

Stochastic Processes and their Applications, 2012, vol. 122, issue 3, 930-951

Abstract: We study dependence between components of multivariate (nice Feller) Markov processes: what conditions need to be satisfied by a multivariate Markov process so that its components are Markovian with respect to the filtration of the entire process and such that they follow prescribed laws? To answer this question, we introduce a symbolic approach, which is rooted in the concept of pseudo-differential operator (PDO). We investigate connections between dependence, in the sense described above, and the PDOs. In particular, we study the problem of constructing a multivariate nice Feller process with given marginal laws in terms of symbols of the related PDOs. This approach leads to relatively simple conditions, which provide solutions to this problem.

Keywords: Markov process; Markov consistency; Markov copulae; Dependence; Pseudo-differential operator; Marginal laws (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:122:y:2012:i:3:p:930-951

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DOI: 10.1016/j.spa.2011.11.001

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