极限分布具有无穷可分性的马氏过程

Markov Processes with Infinitely Divisible Limit Distributions

  • 摘要: 研究极限分布具有无穷可分性的马氏过程。利用特征函数研究无穷可分性。某类马氏过程具有无穷可分的极限分布,但不是所有的马氏过程均具有无穷可分性。由此,给出了一个较易验证的保证极限分布存在的充要条件,并对某类特殊形式的马氏过程给出了具有无穷可分的极限分布的充分条件。

     

    Abstract: To study special Markov processes with infinitely divisible limit distributions, the characteristic function was used. Some examples which have infinitely divisible limit distributions were given and a counterexample illustrated that not all the Markov processes had infinitely divisible limit distributions. An easily verified sufficient and essential condition which can assure Markov processes have limit distributions was given. Moreover a sufficient and essential condition ensuring that some special kind of Markov process has infinitely divisible limit distributions was given.

     

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