On the class of distributions of subordinated Lévy processes and bases

DOI10.1016/J.SPA.2016.06.015zbMATH Open1395.60054arXiv1505.00186OpenAlexW2467968251MaRDI QIDQ730346FDOQ730346

Almut E. D. Veraart, Orimar Sauri

Publication date: 27 December 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: This article study the class of distributions obtained by subordinating L'evy processes and L'evy bases. To do this we derive properties of a suitable mapping obtained via L'evy mixing. We show that our results can be used to solve the so-called recovery problem for general L'evy bases as well as for moving average processes which are driven by subordinated L'evy processes.

Full work available at URL: https://arxiv.org/abs/1505.00186

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zbMATH Keywords

subordinationrecovery problemLévy processesLévy basisLévy semistationary processesLévy mixing

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

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Cited In (7)

• Compound vectors of subordinators and their associated positive Lévy copulas
• Title not available (Why is that?)
• Gamma Kernels and BSS/LSS Processes
• On properties and applications of Gaussian subordinated Lévy fields
• On the divergence and vorticity of vector ambit fields
• On stochastic control for time changed Lévy dynamics
• One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications

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