Generalised Liouville Processes and their Properties
Probability
2020-11-25 v2 Pricing of Securities
Abstract
We define a new family of multivariate stochastic processes over a finite time horizon that we call Generalised Liouville Processes (GLPs). GLPs are Markov processes constructed by splitting L\'evy random bridges into non-overlapping subprocesses via time changes. We show that the terminal values and the increments of GLPs have generalised multivariate Liouville distributions, justifying their name. We provide various other properties of GLPs and some examples.
Cite
@article{arxiv.2003.11312,
title = {Generalised Liouville Processes and their Properties},
author = {Edward Hoyle and Levent Ali Mengütürk},
journal= {arXiv preprint arXiv:2003.11312},
year = {2020}
}