On subordinated multivariate Gaussian Lévy processes

DOI10.1007/s10440-007-9108-zzbMath1121.60050OpenAlexW2082085497MaRDI QIDQ996741

Bronius Grigelionis

Publication date: 19 July 2007

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-007-9108-z

zbMATH Keywords

self-decomposabilityThorin subordinatormultivariate Gaussian Levy processPolya subordinator

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Related Items (8)

Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing ⋮ Selfdecomposability and semi-selfdecomposability in subordination of cone-parameter convolution semigroups ⋮ Thorin classes of Lévy processes and their transforms ⋮ A class of probability distributions that is closed with respect to addition as well as multiplication of independent random variables ⋮ Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions ⋮ On stochastic processes associated with relativistic stable distributions ⋮ On the Hougaard subordinated Gaussian Lévy processes ⋮ Self-decomposability of weak variance generalised gamma convolutions

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