Article contents
Generalised liouville processes and their properties
Published online by Cambridge University Press: 23 November 2020
Abstract
We define a new family of multivariate stochastic processes over a finite time horizon that we call generalised Liouville processes (GLPs). GLPs are Markov processes constructed by splitting Lévy random bridges into non-overlapping subprocesses via time changes. We show that the terminal values and the increments of GLPs have generalised multivariate Liouville distributions, justifying their name. We provide various other properties of GLPs and some examples.
MSC classification
- Type
- Research Papers
- Information
- Copyright
- © Applied Probability Trust 2020
References
- 3
- Cited by