On the class of distributions of subordinated Lévy processes

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Title: On the class of distributions of subordinated Lévy processes
Authors: Sauri, O
Veraart, A
Item 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.
Date of Acceptance: 16-Jun-2016
URI: http://hdl.handle.net/10044/1/33753
ISSN: 0304-4149
Publisher: Elsevier
Journal / Book Title: Stochastic Processes and Their Applications
Sponsor/Funder: Commission of the European Communities
Funder's Grant Number: FP7-PEOPLE-2012-CIG-321707
Keywords: Statistics & Probability
0104 Statistics
1502 Banking, Finance And Investment
Publication Status: Accepted
Appears in Collections:Mathematics
Statistics
Faculty of Natural Sciences



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