CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
Probability
2007-05-23 v2
Abstract
We describe the CGMY and Meixner processes as time changed Brownian motions. The CGMY uses a time change absolutely continuous with respect to the one-sided stable subordinator while the Meixner time change is absolutely continuous with respect to the one sided stable subordinator The required time changes may be generated by simulating the requisite one-sided stable subordinator and throwing away some of the jumps as described in Rosinski (2001).
Keywords
Cite
@article{arxiv.math/0601173,
title = {CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators},
author = {Dilip Madan and Marc Yor},
journal= {arXiv preprint arXiv:math/0601173},
year = {2007}
}