Series Representations for Multivariate Time-Changed Lévy Models

Vladimir Panov

Methodology and Computing in Applied Probability, 2017, vol. 19, issue 1, 97-119

Abstract: Abstract In this paper, we analyze a Lévy model based on two popular concepts - subordination and Lévy copulas. More precisely, we consider a two-dimensional Lévy process such that each component is a time-changed (subordinated) Brownian motion and the dependence between subordinators is described via some Lévy copula. The main result of this paper is the series representation for our model, which can be efficiently used for simulation purposes.

Keywords: Lévy copula; Time-changed Lévy process; Subordination; Primary 60G51; Secondary 62F99 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s11009-015-9461-8

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