On the class of distributions of subordinated Lévy processes and bases

Sauri Arregui Orimar; Almut E.D. Veraart

doi:10.1016/j.spa.2016.06.015

On the class of distributions of subordinated Lévy processes and bases

Sauri Arregui Orimar, Almut E.D. Veraart

Research output: Contribution to journal › Journal article › Research › peer-review

3 Citations (Scopus)

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 language	English
Journal	Stochastic Processes and Their Applications
Volume	127
Issue number	2
Pages (from-to)	475-496
Number of pages	22
ISSN	0304-4149
DOIs	https://doi.org/10.1016/j.spa.2016.06.015
Publication status	Published - 2017

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@article{b97dd9d665e94515b8a0e467e2ad0cc3,

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.",

author = "Orimar, {Sauri Arregui} and Veraart, {Almut E.D.}",

year = "2017",

doi = "10.1016/j.spa.2016.06.015",

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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

Y1 - 2017

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

SN - 0304-4149

VL - 127

SP - 475

EP - 496

JO - Stochastic Processes and Their Applications

JF - Stochastic Processes and Their Applications

IS - 2

ER -

On the class of distributions of subordinated Lévy processes and bases

Abstract

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