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Lévy Bases and Extended Subordination

Publikation: Working paperForskning

Dokumenter

  • T.N. Thiele Centre
  • Institut for Matematiske Fag
The concept of subordination of Lévy processes is reinterpreted and then extended to a definition of subordination of Lévy bases. This is extended a step further, and then applied to give an alternative way of volatility/intermittency modulation in the context of ambit fields.
OriginalsprogEngelsk
UdgivelsesstedÅrhus
UdgiverThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Antal sider15
StatusUdgivet - 12 sep. 2010

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