Association and other forms of positive dependence for Feller evolution systems

Eddie Tu

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arXiv · 1805.03080

Association and other forms of positive dependence for Feller evolution systems

Eddie Tu

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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.

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Eddie Tu. 2018-05-08. Association and other forms of positive dependence for Feller evolution systems. https://arxiv.org/abs/1805.03080

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