Abstract
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.
Originalsprog | Engelsk |
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Tidsskrift | Stochastic Processes and Their Applications |
Vol/bind | 127 |
Udgave nummer | 2 |
Sider (fra-til) | 475-496 |
Antal sider | 22 |
ISSN | 0304-4149 |
DOI | |
Status | Udgivet - 2017 |