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Weak Subordination of Multivariate Lévy Processes

Lu, Kevin Weichao

Description

Based on the idea of constructing a time-changed process, strong subordination is the operation that evaluates a multivariate Lévy process at a multivariate subordinator. This produces a Lévy process again when the subordinate has independent components or the subordinator has indistinguishable components, otherwise we prove that it does not in a wide range of cases. A new operation known as weak subordination is introduced, acting on multivariate Lévy...[Show more]

CollectionsOpen Access Theses
Date published: 2018
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/148680
DOI: 10.25911/5d611fd25c296

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