arXiv subjects

Eddie Tu

Publications and source records attributed to Eddie Tu.

2 recordsLinked to original sources

arXiv2019

On the association and other forms of positive dependence for Feller processes

We characterize various forms of positive dependence, such as association, positive supermodular association and dependence, and positive orthant dependence, for jump-Feller processes. Such jump processes can be studied through their state-space dependent Levy measures. It is through these Levy measures where we will provide our characterization. Finally, we present applications of these results to stochastically monotone Feller processes, including Levy processes, the Ornstein-Uhlenbeck process, pseudo-Poisson processes, and subordinated Feller processes.

math.PR↗

arXiv2019

Association and other forms of positive dependence for Feller evolution systems

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.

math.PR↗