English

Association and other forms of positive dependence for Feller evolution systems

Probability 2019-05-17 v2

Abstract

We characterize various forms of positive dependence for a general class of time-inhomogeneous Markov processes called Feller evolution processes (FEPs) and for jump-FEPs. General FEPs can be studied through their time and state-space dependent (extended) generators. We will use the time and state-space dependent (extended) generators and time and state-space dependent Levy measures to characterize the positive dependence of general FEPs and jump-FEPs, respectively. Finally, we present applications of these results to additive processes, which are time-inhomogeneous Levy processes, often arising as useful examples in financial modeling.

Keywords

Cite

@article{arxiv.1805.03080,
  title  = {Association and other forms of positive dependence for Feller evolution systems},
  author = {Eddie Tu},
  journal= {arXiv preprint arXiv:1805.03080},
  year   = {2019}
}

Comments

22 pages