A note on marked point processes and multivariate subordination

DOI10.1016/J.SPL.2016.11.008zbMATH Open1356.60080OpenAlexW2551259283MaRDI QIDQ504490FDOQ504490

Authors: Petar Jevtić, Marina Marena, 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

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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) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Random measures (60G57)

Cites Work

• Title not available (Why is that?)
• Probability and stochastics.
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Multivariate subordination, self-decomposability and stability
• Multivariate generalized Laplace distribution and related random fields

Cited In (5)

• Integrability of multivariate subordinated Lévy processes in Hilbert space
• Marginal consistent dependence modelling using weak subordination for Brownian motions
• On subordinated multivariate Gaussian Lévy processes
• A note on the multivariate generalized asymmetric Laplace motion
• Multivariate marked Poisson processes and market related multidimensional information flows

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