Abstract
The class of generalized z–distributions is defined and their properties are investigated. Ornstein–Uhlenbeck–type and self–similar generalized z–processes are constructed and described. Esscher transforms of the generalized z–processes and the mixed generalized z–processes are characterized. Finally, construction and some properties of generalized z–diffusions are also discussed.
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Grigelionis, B. Generalized z-Distributions and Related Stochastic Processes. Lithuanian Mathematical Journal 41, 239–251 (2001). https://doi.org/10.1023/A:1012806529251
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DOI: https://doi.org/10.1023/A:1012806529251