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Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions

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

Description

Subordinating a multivariate Lévy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Lévy process, provided the subordinator and the subordinate are independent processes. The variance-gamma model in finance was generated accordingly from a Brownian motion and a gamma process. Alternatively, multivariate subordination can be used to create Lévy processes, but this requires the subordinate to have independent components. In this paper, we show...[Show more]

CollectionsANU Research Publications
Date published: 2019
Type: Journal article
URI: http://hdl.handle.net/1885/187188
Source: Bernoulli
DOI: 10.3150/17-BEJ1004
Access Rights: Open Access

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