A note on marked point processes and multivariate subordination

DOI10.1016/j.spl.2016.11.008zbMath1356.60080OpenAlexW2551259283MaRDI QIDQ504490

Marina Marena, Petar Jevtić, Patrizia Semeraro

Publication date: 16 January 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2318/1616998

zbMATH Keywords

subordinated Brownian motionsmarked Poisson processesmultivariate generalized asymmetric Laplace motionmultivariate Poisson random measuremultivariate subordinatorssubordinated Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Brownian motion (60J65) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

A note on the multivariate generalized asymmetric Laplace motion ⋮ Marginal consistent dependence modelling using weak subordination for Brownian motions ⋮ MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS

Cites Work

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• Multivariate generalized Laplace distribution and related random fields
• Multivariate subordination, self-decomposability and stability
• Probability and Stochastics
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS

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