Student's t-Distribution and Related Stochastic Processes

Bronius Grigelionis

ISBN 10: 3642311458 / ISBN 13: 9783642311451

Published by Springer Berlin Heidelberg, Springer Berlin Heidelberg Sep 2012, 2012

About this Item

Neuware -This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student¿s distributions, represented as variance and mean-variance mixtures of multivariate Gaussian distributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student¿s t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student¿s t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructing and analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar¿s theorem are explained.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 112 pp. Englisch.

Seller Inventory # 9783642311451

Bibliographic Details

• Title: Student's t-Distribution and Related Stochastic Processes
• Publisher: Springer Berlin Heidelberg, Springer Berlin Heidelberg Sep 2012
• Publication Date: 2012
• Language: English
• ISBN 10: 3642311458
• ISBN 13: 9783642311451
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 235W x 155H x 7D millimeters 235 millimeters width by 155 millimeters height by 7 millimeters depth
• Weight: 184 grams

About this title

Synopsis

This brief monograph is an in-depth study of the infinite divisibility and self-decomposability properties of central and noncentral Student’s distributions, represented as variance and mean-variance mixtures of multivariate Gaussian distributions with the reciprocal gamma mixing distribution. These results allow us to define and analyse Student-Lévy processes as Thorin subordinated Gaussian Lévy processes. A broad class of one-dimensional, strictly stationary diffusions with the Student’s t-marginal distribution are defined as the unique weak solution for the stochastic differential equation. Using the independently scattered random measures generated by the bi-variate centred Student-Lévy process, and stochastic integration theory, a univariate, strictly stationary process with the centred Student’s t- marginals and the arbitrary correlation structure are defined. As a promising direction for future work in constructing and analysing new multivariate Student-Lévy type processes, the notion of Lévy copulas and the related analogue of Sklar’s theorem are explained.

About the Author

Prof. Grigelionis is a senior research fellow at the Institute of Mathematics and Informatics of Vilnius University, member of the Lithuanian Academy of Sciences and the International Statistical Institute. He has done extensive research in stochastic analysis and its applications. These include the semimartingale characterisation of stochastic processes with conditionally independent increments and solutions of stochastic Ito's equations, stochastic nonlinear filtering equations, optimal stopping of stochastic processes - joint research with A. Shiryaev - criteria of weak convergence of stochastic processes - joint research with R. Mikulevičius - etc. His current research topics are the properties of mixed Gaussian distributions and related stochastic processes.