On the Hougaard subordinated Gaussian Lévy processes

DOI10.1016/j.spl.2011.01.020zbMath1225.60078OpenAlexW2042137627MaRDI QIDQ552990

Bronius Grigelionis

Publication date: 26 July 2011

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

Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.020

zbMATH Keywords

subordinationBessel functionself-decomposabilityGaussian Lévy processHougaard processOrnstein-Uhlenbeck type processpower-variance distribution

Mathematics Subject Classification ID

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A Lévy-driven rainfall model with applications to futures pricing

Cites Work

• Thorin classes of Lévy processes and their transforms
• On subordinated multivariate Gaussian Lévy processes
• On Infinitely Divisible Exponential Dispersion Model Related to Poisson-Exponential Distribution
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