On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
Hiroki Masuda
Source: Bernoulli Volume 10, Number 1
(2004), 97-120.
Abstract
We prove the following probabilistic properties of a multidimensional Ornstein-Uhlenbeck process driven by a general Lévy process, under mild regularity conditions: the strong Feller property; the existence of a smooth transition density; and the exponential β-mixing property. As a class of possible invariant distributions of an Ornstein-Uhlenbeck process, we also discuss centred and non-skewed multidimensional generalized hyperbolic distributions.
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Keywords: mixing bound; multidimensional generalized hyperbolic distribution; operator self-decomposability; Ornstein-Uhlenbeck process driven by a Lévy process
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Permanent link to this document: http://projecteuclid.org/euclid.bj/1077544605
Zentralblatt MATH identifier: 1048.60060
Digital Object Identifier: doi:10.3150/bj/1077544605
Mathematical Reviews number (MathSciNet): MR2044595
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