Quantile clocks
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Publication:655573
DOI10.1214/10-AAP752zbMath1246.60027arXiv1003.3581OpenAlexW3037114938MaRDI QIDQ655573
Lancelot F. James, Zhiyuan Zhang
Publication date: 4 January 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1003.3581
Lévy processesgeneralized gamma convolutionsperfect samplingself-decomposable lawstime changed price processes
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Exchangeability for stochastic processes (60G09)
Related Items (5)
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws ⋮ A class of probability distributions that is closed with respect to addition as well as multiplication of independent random variables ⋮ A random integral calculus on generalized \(s\)-selfdecomposable probability measures ⋮ Risky Asset Models with Tempered Stable Fractal Activity Time
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