The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off


  • Applebaum, David. Lévy processes and stochastic integrals in Banach spaces. Probab. Math. Statist. 27 (2007), no. 1, 75--88. MR2353272
  • Barndorff-Nielsen, Ole E.; Shephard, Neil. Econometric analysis of realized covariation: high frequency based covariance, regression, and correlation in financial economics. Econometrica 72 (2004), no. 3, 885--925. MR2051439
  • Barndorff-Nielsen, Ole Eiler; Stelzer, Robert. Positive-definite matrix processes of finite variation. Probab. Math. Statist. 27 (2007), no. 1, 3--43. MR2353270
  • O. E. Barndorff-Nielsen and R. Stelzer (2011): The multivariate supOU stochastic volatility model. phMath. Finance. doi: 10.1111/j.1467-9965.2011.00494.x.
  • Barndorff-Nielsen, Ole Eiler; Stelzer, Robert. Multivariate supOU processes. Ann. Appl. Probab. 21 (2011), no. 1, 140--182. MR2759198
  • Benaych-Georges, Florent. Classical and free infinitely divisible distributions and random matrices. Ann. Probab. 33 (2005), no. 3, 1134--1170. MR2135315
  • Benaych-Georges, Florent. Infinitely divisible distributions for rectangular free convolution: classification and matricial interpretation. Probab. Theory Related Fields 139 (2007), no. 1-2, 143--189. MR2322694
  • F. Benaych-Georges and T. Cabanal-Duvillard (2012): Marchenko-Pastur theorem and Bercovici-Pata bijections for heavy-tailed or localized vectors. ALEA, Latin American J. Probab. Statist. 9, 685-715.
  • Bercovici, Hari; Pata, Vittorino. Stable laws and domains of attraction in free probability theory. With an appendix by Philippe Biane. Ann. of Math. (2) 149 (1999), no. 3, 1023--1060. MR1709310
  • Cabanal-Duvillard, Thierry. A matrix representation of the Bercovici-Pata bijection. Electron. J. Probab. 10 (2005), no. 18, 632--661 (electronic). MR2147320
  • Cont, Rama; Tankov, Peter. Financial modelling with jump processes. Chapman & Hall/CRC Financial Mathematics Series. Chapman & Hall/CRC, Boca Raton, FL, 2004. xvi+535 pp. ISBN: 1-5848-8413-4 MR2042661
  • Domínguez-Molina, J. Armando; Rocha-Arteaga, Alfonso. Random matrix models of stochastic integral type for free infinitely divisible distributions. Period. Math. Hungar. 64 (2012), no. 2, 145--160. MR2925165
  • Kallenberg, Olav. Foundations of modern probability. Second edition. Probability and its Applications (New York). Springer-Verlag, New York, 2002. xx+638 pp. ISBN: 0-387-95313-2 MR1876169
  • Pérez-Abreu, Victor; Sakuma, Noriyoshi. Free generalized gamma convolutions. Electron. Commun. Probab. 13 (2008), 526--539. MR2447839
  • Pigorsch, Christian; Stelzer, Robert. On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes. Bernoulli 15 (2009), no. 3, 754--773. MR2555198
  • Protter, Philip E. Stochastic integration and differential equations. Second edition. Applications of Mathematics (New York), 21. Stochastic Modelling and Applied Probability. Springer-Verlag, Berlin, 2004. xiv+415 pp. ISBN: 3-540-00313-4 MR2020294
  • K. Sato (1999): Lévy Processes and Infinitely Divisible Distributions. Cambridge Univ. Press, Cambridge.
  • Stelzer, Robert. Multivariate ${\rm COGARCH}(1,1)$ processes. Bernoulli 16 (2010), no. 1, 80--115. MR2648751

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.