Association and Other Forms of Positive Dependence for Feller Evolution Systems
Theory of Probability and Its Applications
We prove characterizations 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 analyzed 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 Lévy measures to characterize the positive dependence of general FEPs and jump-FEPs, respectively. We conclude with applications of these results to additive processes, which are time-inhomogeneous Lévy processes, often arising as useful examples in financial modeling.
Tu, E. "Association and Other Forms of Positive Dependence for Feller Evolution Systems." Theory of Probability & Its Applications 66, no. 2 (2021): 299-317. https://epubs.siam.org/doi/abs/10.1137/S0040585X97T99040X