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The stationarity of multidimensional generalized Ornstein-Uhlenbeck processes

Kotaro Endo and Muneya Matsui

Statistics & Probability Letters, 2008, vol. 78, issue 14, 2265-2272

Abstract: The multidimensional generalized Ornstein-Uhlenbeck process is defined as an extended version of the generalized Ornstein-Uhlenbeck process of which integral is with respect to a multidimensional Lévy process. The condition for the stationarity of the process and that for the convergence are respectively studied. The relationship between these two conditions is also clarified.

Date: 2008
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