Title

Association and Other Forms of Positive Dependence for Feller Evolution Systems

Document Type

Article

Publication Date

8-5-2021

Department

Mathematics

Language

English

Publication Title

Theory of Probability and Its Applications

Abstract

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.

Comments

For more information on the published version, visit SIAM's (Society for Industrial and Applied Mathematics).

DOI

10.1137/S0040585X97T99040X

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