Symmetry and Time Changed Brownian Motions

José Fajardo () and Ernesto Mordecki
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Ernesto Mordecki: Central Bank of Brazil

No 2008-02, IBMEC RJ Economics Discussion Papers from Economics Research Group, IBMEC Business School - Rio de Janeiro

Abstract: In this paper we examine which Brownian Subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki (2006b). We obtain that when the subordination results in a Lévy process, a necessary and sufficient condition for the symmetry to hold is that drift must be equal to -1/2.

Keywords: Time Changed; Subordination; Symmetry (search for similar items in EconPapers)
Date: 2008-09-26
New Economics Papers: this item is included in nep-ecm and nep-ore
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