Integrability of multivariate subordinated Lévy processes in Hilbert space

DOI10.1080/17442508.2014.966826zbMATH Open1327.60103arXiv1211.6266OpenAlexW3099185304MaRDI QIDQ5265794FDOQ5265794

Paul Krühner, Fred Espen Benth

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

Abstract: We generalise multivariate subordination of L'evy processes as introduced by Barndorff-Nielsen, Pedersen, and Sato to Hilbert space valued L'evy processes. The processes are explicitly characterised and conditions for integrability and martingale properties are derived under various assumptions of the L'evy process and subordinator. As an application of our theory we construct explicitly some Hilbert space valued versions of L'evy processes which are popular in the univariate and multivariate case. In particular, we define a normal inverse Gaussian L'evy process in Hilbert space as a subordination of a Hilbert space valued Wiener process by an inverse Gaussian L'evy process. The resulting process has the property that at each time all its finite dimensional projections are multivariate normal inverse Gaussian distributed as introduced in Rydberg(97).

Full work available at URL: https://arxiv.org/abs/1211.6266

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zbMATH Keywords

Hilbert spaceintegrabilitymultivariate subordinationLévy processesinfinite variate normal inverse Gaussian process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Stable stochastic processes (60G52)

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Cited In (9)

• Representation of infinite-dimensional forward price models in commodity markets
• Approximation and simulation of infinite-dimensional Lévy processes
• Compound vectors of subordinators and their associated positive Lévy copulas
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• On subordinated multivariate Gaussian Lévy processes
• Multivariate subordination, self-decomposability and stability
• Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
• On stochastic control for time changed Lévy dynamics

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