On the class of distributions of subordinated Lévy processes and bases

Sauri Arregui Orimar, Almut E.D. Veraart

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

1 Citationer (Scopus)

Abstrakt

This article studies the class of distributions obtained by subordinating Lévy processes and Lévy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via Lévy mixing. We show that our results can be used to solve the so-called recovery problem for general Lévy bases as well as for moving average processes which are driven by subordinated Lévy processes.
OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind127
Udgave nummer2
Sider (fra-til)475-496
Antal sider22
ISSN0304-4149
DOI
StatusUdgivet - 2017

Fingeraftryk

Dyk ned i forskningsemnerne om 'On the class of distributions of subordinated Lévy processes and bases'. Sammen danner de et unikt fingeraftryk.

Citationsformater