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math.PR2013★ 7 cited
A criterion for invariant measures of Itô processes based on the symbol
Anita Behme, Alexander Schnurr
An integral criterion for the existence of an invariant measure of an Itô process is developed. This new criterion is based on the probabilistic symbol of the Itô process. In contr…
math.PR2013★ 2 cited
Superposition of COGARCH processes
Anita Behme, Carsten Chong, Claudia Klüppelberg
We suggest three superpositions of COGARCH (supCOGARCH) volatility processes driven by Lévy processes or Lévy bases. We investigate second-order properties, jump behaviour, and pro…
math.PR2013
On exponential functionals of Levy processes
Anita Behme, Alexander Lindner
Exponential functionals of Lévy processes appear as stationary distributions of generalized Ornstein-Uhlenbeck (GOU) processes. In this paper we obtain the infinitesimal generator…