Article ID Journal Published Year Pages File Type
5130196 Stochastic Processes and their Applications 2017 22 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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