Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130196 | Stochastic Processes and their Applications | 2017 | 22 Pages |
Abstract
This article studies the class of distributions obtained by subordinating Lévy processes and Lévy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via Lévy mixing. We show that our results can be used to solve the so-called recovery problem for general Lévy bases as well as for moving average processes which are driven by subordinated Lévy processes.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Orimar Sauri, Almut E.D. Veraart,