On subordinated multivariate Gaussian Lévy processes

DOI10.1007/S10440-007-9108-ZMaRDI QIDQ996741zbMATH OpenOpenAlexFDO

Authors Bronius Grigelionis

Publication date 19 July 2007

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10440-007-9108-z

zbMATH Keywords

self-decomposabilityThorin subordinatormultivariate Gaussian Levy processPolya subordinator

Mathematics Subject Classification ID

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

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Cites work

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• Correction and addendum to "On mixtures of the normal distribution by the generalized gamma convolutions"
• Eigenvalue expansions for diffusion hitting times
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• Generalized gamma convolutions and related classes of distributions and densities
• Multivariate subordination, self-decomposability and stability
• Normal Variance-Mean Mixtures and z Distributions
• On Some Classes of Processes with Independent Increments
• On mixtures of the normal distribution by the generalized gamma convolutions
• Processes of normal inverse Gaussian type
• Subordination and self-decomposability

Cited in

(15)

• On the class of distributions of subordinated Lévy processes and bases
• On the Hougaard subordinated Gaussian Lévy processes
• Compound vectors of subordinators and their associated positive Lévy copulas
• Comparison of two components of a bivariate subordinator and study of the upper envelope of a Lévy process
• On properties and applications of Gaussian subordinated Lévy fields
• On stochastic processes associated with relativistic stable distributions
• A class of probability distributions that is closed with respect to addition as well as multiplication of independent random variables
• Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
• Self-decomposability of weak variance generalised gamma convolutions
• Multivariate exponential power Lévy processes and random fields
• Integrability of multivariate subordinated Lévy processes in Hilbert space
• A note on marked point processes and multivariate subordination
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• Thorin classes of Lévy processes and their transforms
• Selfdecomposability and semi-selfdecomposability in subordination of cone-parameter convolution semigroups

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