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Ole E. Barndorff-Nielsen Makoto Maejima Ken-iti Sato 《Journal of Theoretical Probability》2006,19(2):411-446
General results concerning infinite divisibility, selfdecomposability, and the class L
m
property as properties of stochastic processes are presented. A new concept called temporal selfdecomposability of stochastic processes is introduced. Lévy processes, additive processes, selfsimilar processes, and stationary processes of Ornstein–Uhlenbeck type are studied in relation to these concepts. Further, time change of stochastic processes is studied, where chronometers (stochastic processes that serve to change time) and base processes (processes to be time-changed) are independent but do not, in general, have independent increments. Conditions for inheritance of infinite divisibility and selfdecomposability under time change are given. 相似文献
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MENG Jie NIU ZhongMing LIANG HaoZhao & SUN BaoHua State Key Laboratory of Nuclear Physics Technology School of Physics Peking University Beijing China School of Physics Nuclear Energy Engineering Beihang University Beijing Department of Physics University of Stellenbosch Stellenbosch South Africa Justus-Liebig-Universita¨t Giessen Heinrich-Buff-Ring Giessen Germany 《中国科学:物理学 力学 天文学(英文版)》2011,(Z1)
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