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Lévy Bases and Extended Subordination

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  • T.N. Thiele Centre
  • Department of Mathematical Sciences
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.
Original languageEnglish
Place of publicationÅrhus
PublisherThiele Centre, Institut for Matematiske Fag, Aarhus Universitet
Number of pages15
Publication statusPublished - 12 Sep 2010

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