English

Levy processes in cones of fuzzy vectors

Probability 2017-11-07 v1

Abstract

The general problem of how to construct stochastic processes which are confined to stay in a predefined cone (in the one-dimensional but also multi-dimensional case also referred to as \emph{subordinators}) is of course known to be of great importance in the theory and a myriad of applications.\par But fuzzy stochastic processes are considered in this context for the first time in this paper:\par By first relating with each proper convex cone CC in Rn\R^{n} a certain cone of fuzzy vectors CC^* and subsequently using some specific Banach space techniques we have been able to produce as many pairs (Lt,C)(L^*_t, C^*) of fuzzy \L processes LtL^*_t and cones CC^* of fuzzy vectors such that LtL^*_t are CC^*-\,subordinators.

Keywords

Cite

@article{arxiv.1711.01586,
  title  = {Levy processes in cones of fuzzy vectors},
  author = {Jan Schneider and Roman Urban},
  journal= {arXiv preprint arXiv:1711.01586},
  year   = {2017}
}