On subordinated multivariate Gaussian Lévy processes

DOI10.1007/S10440-007-9108-ZzbMATH Open1121.60050OpenAlexW2082085497MaRDI QIDQ996741FDOQ996741

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

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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)

Cites Work

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• Multivariate subordination, self-decomposability and stability
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• Eigenvalue expansions for diffusion hitting times
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• A SOLUTION OF THE NAVIER–STOKES EQUATIONS ILLUSTRATING THE RESPONSE OF A LAMINAR BOUNDARY LAYER TO A GIVEN CHANGE IN THE EXTERNAL STREAM VELOCITY
• On mixtures of the normal distribution by the generalized gamma convolutions
• Correction and addendum to "On mixtures of the normal distribution by the generalized gamma convolutions"
• Completely operator-selfdecomposable distributions and operator-stable distributions

Cited In (13)

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

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