Dynamic Upsilon Transformations
by Ole E. Barndorff-Nielsen and Makoto Maejima
Thiele Research Reports
Number 7 (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 publication also serves as Research Reports number 494