On the class of distributions of subordinated Lévy processes and bases

Orimar Sauri and Almut Veraart

Stochastic Processes and their Applications, 2017, vol. 127, issue 2, 475-496

Abstract: This article studies the class of distributions obtained by subordinating Lévy processes and Lévy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via Lévy mixing. We show that our results can be used to solve the so-called recovery problem for general Lévy bases as well as for moving average processes which are driven by subordinated Lévy processes.

Keywords: Subordination; Lévy basis; Lévy processes; Lévy mixing; Lévy semistationary processes; Recovery problem (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:2:p:475-496

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DOI: 10.1016/j.spa.2016.06.015

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