论文标题
广义的liouville流程及其属性
Generalised Liouville Processes and their Properties
论文作者
论文摘要
我们在有限的时间范围内定义了一个新的多元随机过程，我们称之为广义liouville过程（GLP）。 GLP是Markov过程，通过将Lévy随机桥分开到非重叠子过程中，通过时间变化构建。我们表明，GLP的终端值和增量具有概括性的Liouville分布，证明其名称是合理的。我们提供GLP的其他各种特性和一些示例。
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.
