On the Hougaard subordinated Gaussian Lévy processes (Q552990)
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scientific article; zbMATH DE number 5932051
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| English | On the Hougaard subordinated Gaussian Lévy processes |
scientific article; zbMATH DE number 5932051 |
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On the Hougaard subordinated Gaussian Lévy processes (English)
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26 July 2011
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The author characterizes the class of multivariate Gaussian Lévy processes which are subordinated via Hougaard processes, i.e., Lévy processes whose one-dimensional marginals are Tweedie distributions. Furthermore, he proves necessary and sufficient conditions for the self-decomposability of the subordinated processes and describes related Ornstein-Uhlenbeck type processes.
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Gaussian Lévy process
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Hougaard process
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Ornstein-Uhlenbeck type process
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self-decomposability
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subordination
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power-variance distribution
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Bessel function
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0.8710517883300781
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0.8681342601776123
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0.8056821227073669
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0.8056821227073669
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