Logarithmic L\'{e}vy process directed by Poisson subordinator
Abstract
Let be a L\'{e}vy process with representative random variable defined by the infinitely divisible logarithmic series distribution. We study here the transition probability and L\'{e}vy measure of this process. We also define two subordinated processes. The first one, , is a Negative-Binomial process directed by Gamma process. The second process, , is a Logarithmic L\'{e}vy process directed by Poisson process. For them, we prove that the Bernstein functions of the processes and contain the iterated logarithmic function. In addition, the L\'{e}vy measure of the subordinated process is a shifted L\'{e}vy measure of the Negative-Binomial process . We compare the properties of these processes, knowing that the total masses of corresponding L\'{e}vy measures are equal.
Cite
@article{arxiv.1912.07945,
title = {Logarithmic L\'{e}vy process directed by Poisson subordinator},
author = {Penka Mayster and Assen Tchorbadjieff},
journal= {arXiv preprint arXiv:1912.07945},
year = {2019}
}
Comments
Published at https://doi.org/10.15559/19-VMSTA142 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)