On the Hougaard subordinated Gaussian Lévy processes
The author characterizes the class of multivariate Gaussian Lévy processes which are subordinated via Hougaard processes, i.e., Lévy processes whose one-dimensional marginals are Tweedie distributions. Furthermore, he proves necessary and sufficient conditions for the self-decomposability of the subordinated processes and describes related Ornstein-Uhlenbeck type processes.
scientific article; zbMATH DE number 5932051