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Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
Authors:Ken-iti Sato  Makoto Yamazato
Institution:Department of Mathematics, College of Liberal Arts, Kanazawa University, Kanazawa, Japan;Department of Mathematics, Nagoya Institute of Technology, Nagoya, Japan
Abstract:Processes of Ornstein-Uhlenbeck type on Rd are analogues of the Ornstein-Uhlenbeck process on Rd with the Brownian motion part replaced by general processes with homogeneous independent increments. The class of operator-selfdecomposable distributions of Urbanik is characterized as the class of limit distributions of such processes. Continuity of the correspondence is proved. Integro-differential equations for operator-selfdecomposable distributions are established. Examples are given for null recurrence and transience of processes of Ornstein-Uhlenbeck type on R1.
Keywords:infinitely divisible distribution  OL distribution operator-selfdecomposable distribution  limit distribution process of Ornstein-Uhlenbeck type  Lévy measure
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