English

Logarithmic L\'{e}vy process directed by Poisson subordinator

Probability 2019-12-18 v1

Abstract

Let {L(t),t0}\{L(t),t\geq 0\} be a L\'{e}vy process with representative random variable L(1)L(1) 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, Y(t)Y(t), is a Negative-Binomial process X(t)X(t) directed by Gamma process. The second process, Z(t)Z(t), is a Logarithmic L\'{e}vy process L(t)L(t) directed by Poisson process. For them, we prove that the Bernstein functions of the processes L(t)L(t) and Y(t)Y(t) contain the iterated logarithmic function. In addition, the L\'{e}vy measure of the subordinated process Z(t)Z(t) is a shifted L\'{e}vy measure of the Negative-Binomial process X(t)X(t). We compare the properties of these processes, knowing that the total masses of corresponding L\'{e}vy measures are equal.

Keywords

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/)

R2 v1 2026-06-23T12:48:18.858Z