Some properties of the one-dimensional subordinated stable model

DOI10.1016/j.spl.2018.11.002zbMath1407.60069OpenAlexW2900636552MaRDI QIDQ1726847

Xianqiang Yang

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.11.002

zbMATH Keywords

subordinationstable processesMellin-Barnes integralCGMY modeltime-changed processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Cites Work

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• Processes that can be embedded in Brownian motion
• Mellin convolution for subordinated stable processes
• Change of Time and Change of Measure
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Stochastic Volatility for Lévy Processes

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