One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications

DOI10.1239/AAP/1246886616MaRDI QIDQ5320656zbMATH OpenOpenAlexFDO

Authors Shai Covo

Publication date 22 July 2009

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1246886616

zbMATH Keywords

weak convergencegamma processsubordinatorcompound Poisson processsmall jumpsLévy processdickman distributionordered jumpstruncated Lévy measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Functional limit theorems; invariance principles (60F17)

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Cites work

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• Approximations of small jumps of Lévy processes with a view towards simulation
• Logarithmic combinatorial structures: A probabilistic approach
• On Approximations of Small Jumps of Subordinators with Particular Emphasis on a Dickman-Type Limit
• On stochastic processes connected with certain physical recording apparatuses
• On the distribution of points in a poisson dirichlet process
• On the extreme flights of one-sided Lévy processes
• Optimal portfolios when stock prices follow an exponential Lévy process
• Order statistics for jumps of normalised subordinators
• Random minimal directed spanning trees and Dickman-type distributions
• The Convolution Powers of the Dickman Function
• The Variance Gamma Process and Option Pricing
• The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
• Two Differential-Difference Equations Arising in Number Theory

Cited in

(7)

• The Dickman subordinator, renewal theorems, and disordered systems
• A simple proof of the Lévy-Khintchine formula for subordinators
• On Approximations of Small Jumps of Subordinators with Particular Emphasis on a Dickman-Type Limit
• The limit distribution of ratios of jumps and sums of jumps of subordinators
• Comparison of two components of a bivariate subordinator and study of the upper envelope of a Lévy process
• On exact sampling of nonnegative infinitely divisible random variables
• A novel single-gamma approximation to the sum of independent gamma variables, and a generalization to infinitely divisible distributions

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