WEAK SUBORDINATION OF MULTIVARIATE LÉVY PROCESSES

DOI10.1017/S0004972719000662zbMath1437.60028MaRDI QIDQ5244212

Kevin W. Lu

Publication date: 20 November 2019

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

subordinationmaximum likelihood estimationBrownian motionLévy processBessel functionmethod of momentsself-decomposabilitygamma processFourier inversionThorin measuremarked Poisson point processlog returngeneralised gamma convolution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characteristic functions; other transforms (60E10) Brownian motion (60J65) Jump processes on general state spaces (60J76)

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Cites Work

• Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
• Calibration for weak variance-alpha-gamma processes

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