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On the class of distributions of subordinated Lévy processes and bases
Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
DOI
- https://doi.org/10.1016/j.spa.2016.06.015
Forlagets udgivne version
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.
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Stochastic Processes and Their Applications |
| Vol/bind | 127 |
| Nummer | 2 |
| Sider (fra-til) | 475-496 |
| Antal sider | 22 |
| ISSN | 0304-4149 |
| DOI | |
| Status | Udgivet - 2017 |
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