Some properties of the one-dimensional subordinated stable model

Vladimir Panov

Statistics & Probability Letters, 2019, vol. 146, issue C, 80-84

Abstract: In this paper, we consider some properties of the model constructed from the one-dimensional stable processes by changing the time to a non-decreasing Lévy process. Our first result reveals a relation between this class of processes and the class of time-changed Brownian motions. Moreover, we describe the CGMY (Carr–Geman–Madan–Yor) model as subordinated stable process, and show the representation of the Lévy density of the corresponding subordinator via the Mellin–Barnes integral.

Keywords: Time-changed processes; Stable processes; Subordination; CGMY model; Mellin–Barnes integral (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.11.002

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