Retrieving information from subordination

DOI10.1007/978-3-642-33549-5_5MaRDI QIDQ2838136zbMATH OpenOpenAlexFDO

Authors Marc Yor, Jean Bertoin

Publication date 8 July 2013

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

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

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)

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.

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(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

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