A note on marked point processes and multivariate subordination

DOI10.1016/J.SPL.2016.11.008MaRDI QIDQ504490zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

marked Poisson processesmultivariate generalized asymmetric Laplace motionmultivariate Poisson random measuremultivariate subordinatorssubordinated Brownian motionssubordinated Lévy processes

Mathematics Subject Classification ID

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

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Cites work

• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Multivariate generalized Laplace distribution and related random fields
• Multivariate subordination, self-decomposability and stability
• Probability and stochastics.

Cited in

(5)

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

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