Logarithmic Lévy process directed by Poisson subordinator

DOI10.15559/19-VMSTA142MaRDI QIDQ2178926zbMATH OpenFDO

Authors Penka Mayster, Assen Tchorbadjieff

Publication date 12 May 2020

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.07945

zbMATH Keywords

Bernstein functionchange of timecompound Poisson processGauss hypergeometric functionharmonic numbersinfinitely divisible logarithmic series distributionLévy processpartial Bell polynomialsStirling numbers

Mathematics Subject Classification ID

Bell and Stirling numbers (11B73) Classical hypergeometric functions, ({}_2F_1) (33C05) Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Abstract: Let $L(t),tgeq0$ be a L'{e}vy process with representative random variable $L(1)$ defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and L'{e}vy measure of this process. We also define two subordinated processes. The first one, $Y(t)$, is a Negative-Binomial process $X(t)$ directed by Gamma process. The second process, $Z(t)$, is a Logarithmic L'{e}vy process $L(t)$ directed by Poisson process. For them, we prove that the Bernstein functions of the processes $L(t)$ and $Y(t)$ contain the iterated logarithmic function. In addition, the L'{e}vy measure of the subordinated process $Z(t)$ is a shifted L'{e}vy measure of the Negative-Binomial process $X(t)$. We compare the properties of these processes, knowing that the total masses of corresponding L'{e}vy measures are equal.

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Cited in

(1)

• Multiple subordinated modeling of asset returns: implications for option pricing

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