Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions

DOI10.3150/17-BEJ1004zbMath1442.60051arXiv1609.04481OpenAlexW2962918342MaRDI QIDQ1715552

Kevin W. Lu, Dilip B. Madan, Boris Buchmann

Publication date: 28 January 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.04481

zbMATH Keywords

subordinationBrownian motionmarked point processLévy processgamma processvariance gammaThorin measuregeneralised gamma convolutionsvariance-alpha-gamma

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Probability distributions: general theory (60E05)

Related Items (14)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Dimension-wise scaled normal mixtures with application to finance and biometry ⋮ Calibration for weak variance-alpha-gamma processes ⋮ On some distributional properties of subordinated Gaussian random fields ⋮ MULTIVARIATE MARKED POISSON PROCESSES AND MARKET RELATED MULTIDIMENSIONAL INFORMATION FLOWS ⋮ INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS ⋮ MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS ⋮ Correlated squared returns ⋮ Self-decomposability of weak variance generalised gamma convolutions ⋮ Estimation and simulation for multivariate tempered stable distributions ⋮ Correlating Lévy processes with self-decomposability: applications to energy markets ⋮ Building multivariate Sato models with linear dependence ⋮ WEAK SUBORDINATION OF MULTIVARIATE LÉVY PROCESSES ⋮ Necessity of weak subordination for some strongly subordinated Lévy processes

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