On the class of distributions of subordinated Lévy processes and bases

Sauri Arregui Orimar, Almut E.D. Veraart

Research output: Contribution to journalJournal articleResearchpeer-review

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.
Original languageEnglish
JournalStochastic Processes and Their Applications
Volume127
Issue number2
Pages (from-to)475-496
Number of pages22
ISSN0304-4149
DOIs
Publication statusPublished - 2017

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Subordinator
Recovery
Moving Average Process
Class

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title = "On the class of distributions of subordinated L{\'e}vy processes and bases",
abstract = "This article studies the class of distributions obtained by subordinating L{\'e}vy processes and L{\'e}vy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via L{\'e}vy mixing. We show that our results can be used to solve the so-called recovery problem for general L{\'e}vy bases as well as for moving average processes which are driven by subordinated L{\'e}vy processes.",
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On the class of distributions of subordinated Lévy processes and bases. / Orimar, Sauri Arregui; Veraart, Almut E.D.

In: Stochastic Processes and Their Applications, Vol. 127, No. 2, 2017, p. 475-496.

Research output: Contribution to journalJournal articleResearchpeer-review

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T1 - On the class of distributions of subordinated Lévy processes and bases

AU - Orimar, Sauri Arregui

AU - Veraart, Almut E.D.

PY - 2017

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N2 - 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.

AB - 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.

U2 - 10.1016/j.spa.2016.06.015

DO - 10.1016/j.spa.2016.06.015

M3 - Journal article

VL - 127

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EP - 496

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

SN - 0304-4149

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