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Self-Decomposability of weak variance generalised gamma convolutions

Buchmann, Boris; Lu, Kevin; Madan, Dilip B.

Description

Weak variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we extend a result from strong to weak subordination that a driftless Brownian motion gives rise to a self-decomposable process. Under moment conditions on the underlying Thorin measure, we show that this condition is also necessary. We apply our results to some prominent processes such as the weak variance alpha-gamma process, and...[Show more]

CollectionsANU Research Publications
Date published: 2019
Type: Journal article
URI: http://hdl.handle.net/1885/187184
Source: Stochastic Processes and their Applications
DOI: 10.1016/j.spa.2019.02.012
Access Rights: Open Access

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