On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
复制标题
调质稳定奥恩斯坦-乌伦贝克过程的转变规律
DOI：
10.1239/jap/1253279848
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发表时间：
2009
影响因子：
1
通讯作者：
Xinsheng Zhang
中科院分区：
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作者：
Shibin Zhang;Xinsheng Zhang
In this paper, a stochastic integral of Ornstein–Uhlenbeck type is represented to be the sum of two independent random variables: one has a tempered stable distribution and the other has a compound Poisson distribution. In distribution, the compound Poisson random variable is equal to the sum of a Poisson-distributed number of positive random variables, which are independent and identically distributed and have a common specified density function. Based on the representation of the stochastic integral, we prove that the transition distribution of the tempered stable Ornstein–Uhlenbeck process is self-decomposable and that the transition density is a C ∞-function.
“分期意识形态”（1986）
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