This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student's distributions, represented as variance and mean-variance mixtures of multivariate Gaussiandistributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student's t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student's t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructingand analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar's theorem are explained. INDICE: Introduction.- Asymptotics.- Preliminaries of Lévy Processes.- Student-Lévy Processes.- Student OU-type Processes.- Student Diffusion Processes.- Miscellanea.- Bessel Functions.- References.- Index.
- ISBN: 978-3-642-31145-1
- Editorial: Springer
- Encuadernacion: Rústica
- Fecha Publicación: 30/09/2012
- Nº Volúmenes: 1
- Idioma: Inglés