On the Hougaard subordinated Gaussian Lévy processes

DOI10.1016/J.SPL.2011.01.020zbMATH Open1225.60078OpenAlexW2042137627MaRDI QIDQ552990FDOQ552990

Authors: Bronius Grigelionis 

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.020

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zbMATH Keywords

Bessel functionsubordinationself-decomposabilityHougaard processOrnstein-Uhlenbeck type processpower-variance distributionGaussian Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

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• Properties of certain Lévy and geometric Lévy processes
• On Infinitely Divisible Exponential Dispersion Model Related to Poisson-Exponential Distribution
• Title not available (Why is that?)
• Thorin classes of Lévy processes and their transforms
• On subordinated multivariate Gaussian Lévy processes

Cited In (11)

• Integrability of multivariate subordinated Lévy processes in Hilbert space
• A Lévy-driven rainfall model with applications to futures pricing
• On some distributional properties of subordinated Gaussian random fields
• On subordinated multivariate Gaussian Lévy processes
• On properties and applications of Gaussian subordinated Lévy fields
• Necessity of weak subordination for some strongly subordinated Lévy processes
• On the class of distributions of subordinated Lévy processes and bases
• Multivariate subordination, self-decomposability and stability
• Generalized linear model for subordinated Lévy processes
• A note on marked point processes and multivariate subordination
• Lévy process with substable increments via generalized convolution

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