Retrieving information from subordination

DOI10.1007/978-3-642-33549-5_5zbMATH Open1284.60084arXiv1005.3187OpenAlexW1566117365MaRDI QIDQ2838136FDOQ2838136

Jean Bertoin, Marc Yor

Publication date: 8 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We show that if $(X_s,sgeq0)$ is a right-continuous process, $Y_t=in{t}_0^{t}ds{X}_s$ its integral process and $au=(a{u}_{ell},ellgeq0)$ a subordinator, then the time-changed process $(Y_{a{u}_{ell}},ellgeq0)$ allows to retrieve the information about $(X_{a{u}_{ell}},ellgeq0)$ when $au$ is stable, but not when $au$ is a gamma subordinator. This question has been motivated by a striking identity in law involving the Bessel clock taken at an independent inverse Gaussian variable.

Full work available at URL: https://arxiv.org/abs/1005.3187

Recommendations

• Stochastic volatility, jumps and hidden time changes
• Convolution-type derivatives, hitting-times of subordinators and time-changed \(C_0\)-semigroups
• SUBORDINATION OF STATIONARY PROCESSES
• On the class of distributions of subordinated Lévy processes and bases
• scientific article; zbMATH DE number 20670

zbMATH Keywords

stable subordinatorBougerol's identityrecovery problemgamma subordinator

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (3)

• Bougerol's identity in law and extensions
• Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
• Stochastic volatility, jumps and hidden time changes

This page was built for publication: Retrieving information from subordination

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2838136)