A note on the multivariate generalized asymmetric Laplace motion

DOI10.1080/03610926.2019.1571609OpenAlexW2921045920MaRDI QIDQ5077188

Patrizia Semeraro

Publication date: 18 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1571609

zbMATH Keywords

multivariate subordinationfactor-based subordinatorsmultivariate gamma motionmultivariate Laplace motion

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Statistics (62-XX) Characteristic functions; other transforms (60E10)

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Cites Work

• A note on marked point processes and multivariate subordination
• Multivariate generalized Laplace distribution and related random fields
• A multivariate and asymmetric generalization of Laplace distribution
• Cone-parameter convolution semigroups and their subordination
• Infinitely divisible multivariate and matrix gamma distributions
• Multivariate time changes for Lévy asset models: characterization and calibration
• Multivariate subordination, self-decomposability and stability
• A multivariate jump-driven financial asset model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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