Dynamic Upsilon Transformations
by Ole E. Barndorff-Nielsen and Makoto Maejima
Research Reports
Number 494 (June 2007)
Upsilon transformations satisfying certain regularity conditions are shown to generate semigroups of such transformations. This is based on a general commutativity property of the Upsilon transformations, and uses log infinite divisibility. The existence of stochastic integral representations of Upsilon transformations and of the generated semigroups is also discussed.
Published as "Semigroups of Upsilon transformations." Stoch. Proc. Appl. 118, 2334-2343.
This primarily serves as Thiele Research Reports number 7-2007, but was also published in Research Reports
