Integrability of multivariate subordinated Lévy processes in Hilbert space

DOI10.1080/17442508.2014.966826MaRDI QIDQ5265794zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Paul Krühner

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

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

zbMATH Keywords

Hilbert spaceinfinite variate normal inverse Gaussian processintegrabilityLévy processesmultivariate subordination

Mathematics Subject Classification ID

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

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).

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• scientific article; zbMATH DE number 3834323 (Why is no real title available?)
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Cited in

(10)

• Approximation and simulation of infinite-dimensional Lévy processes
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
• Compound vectors of subordinators and their associated positive Lévy copulas
• On stochastic control for time changed Lévy dynamics
• Multivariate subordination, self-decomposability and stability
• Derivatives pricing in energy markets: an infinite-dimensional approach
• Representation of infinite-dimensional forward price models in commodity markets
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• Necessity of weak subordination for some strongly subordinated Lévy processes
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