论文标题
具有多项式条件矩和连续路径的静止，马尔可夫，随机过程
Stationary, Markov, stochastic processes with polynomial conditional moments and continuous paths
论文作者
论文摘要
我们正在研究有条件多项式矩的固定随机过程，以进行连续的路径修饰。具有连续路径修改的过程很重要，因为它们相对容易模拟。人们不必关心他们的跳跃分布，这总是很难找到。其中包括Ornstein-Uhlenbeck过程，伽马过程，Arcsin ramgins的过程以及theta函数过渡密度等。我们为固定过程提供了一个简单的标准，即以边缘分布的偏度和过量的峰度表示连续的路径修饰。
We are studying stationary random processes with conditional polynomial moments that allow a continuous path modification. Processes with continuous path modification, are important because they are relatively easy to simulate. One does not have to care about the distribution of their jumps which is always difficult to find. Among them are the Ornstein-Uhlenbeck process, the Gamma process, the process with Arcsin margins and the Theta function transition densities and others. We give a simple criterion for the stationary process to have a continuous path modification expressed in terms of skewness and excess kurtosis of the marginal distribution.
