Miclo, Laurent and Patie, Pierre (2022) On intertwining relations between Ehrenfest, Yule and Ornstein-Uhlenbeck processes. Séminaire de Probabilités, 2301 (N ° 51). pp. 117-141.

[thumbnail of Ornstein.pdf]
Preview
Text
Download (399kB) | Preview
Identification Number : 10.1007/978-3-030-96409-2

Abstract

Markovian intertwining relations between two Markov semigroups are related to the partial inclusion of the spectra of their generators, at least for finite ergodic processes. We check the limitations of this observation by investigating the Markov intertwining relations between the Ehrenfest, Yule and Ornstein-Uhlenbeck processes, whose spectra are all included into -Z+. As a by-product, we offer a clarification of an intertwining relation found in Biane [2] between the Yule and the Ornstein-Uhlenbeck processes.

Item Type: Article
Language: English
Date: 26 January 2022
Refereed: Yes
Place of Publication: New-York
Subjects: B- ECONOMIE ET FINANCE
Divisions: Institut de mathématiques de Toulouse, TSE-R (Toulouse)
Site: UT1
Date Deposited: 20 Apr 2020 13:24
Last Modified: 27 Mar 2023 07:07
OAI Identifier: oai:tse-fr.eu:123863
URI: https://publications.ut-capitole.fr/id/eprint/33639
View Item

Downloads

Downloads per month over past year