On the class of distributions of subordinated Lévy processes
File(s)notesontimechange2_r1.pdf (386.07 KB)
Accepted version
Author(s)
Sauri, O
Veraart, A
Type
Journal Article
Abstract
This article studies the class of distributions obtained by subordinating L´evy
processes and L´evy bases by independent subordinators and meta-times. To do
this we derive properties of a suitable mapping obtained via L´evy mixing. We
show that our results can be used to solve the so-called recovery problem for
general L´evy bases as well as for moving average processes which are driven by
subordinated L´evy processes.
processes and L´evy bases by independent subordinators and meta-times. To do
this we derive properties of a suitable mapping obtained via L´evy mixing. We
show that our results can be used to solve the so-called recovery problem for
general L´evy bases as well as for moving average processes which are driven by
subordinated L´evy processes.
Date Acceptance
2016-06-16
Citation
Stochastic Processes and Their Applications
ISSN
0304-4149
Publisher
Elsevier
Journal / Book Title
Stochastic Processes and Their Applications
Sponsor
Commission of the European Communities
Grant Number
FP7-PEOPLE-2012-CIG-321707
Subjects
Statistics & Probability
0104 Statistics
1502 Banking, Finance And Investment
Publication Status
Accepted