The Class of Distributions of Periodic Ornstein–Uhlenbeck Processes Driven by Lévy Processes

Jan Pedersen () and Ken-Iti Sato ()
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Jan Pedersen: University of Aarhus
Ken-Iti Sato: Ken-Iti Sato

Journal of Theoretical Probability, 2005, vol. 18, issue 1, 209-235

Abstract: The class I(c) of stationary distributions of periodic Ornstein–Uhlenbeck processes with parameter c driven by Lévy processes is analyzed. A characterization of I(c) analogous to a well-known characterization of the selfdecomposable distributions is given. The relations between I(c) for varying values of c and the relations with the class of selfdecomposable distributions and with the nested classes Lm are discussed.

Keywords: Ornstein–Uhlenbeck process; Lévy process; selfdecomposable; distributions (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10959-004-2595-1

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