On the class of distributions of subordinated L\'evy processes
Probability
2015-05-04 v1
Abstract
This article study the class of distributions obtained by subordinating L\'evy processes and L\'evy bases. To do this we derive properties of a suitable mapping obtained via L\'evy mixing. We show that our results can be used to solve the so-called recovery problem for general L\'evy bases as well as for moving average processes which are driven by subordinated L\'evy processes.
Keywords
Cite
@article{arxiv.1505.00186,
title = {On the class of distributions of subordinated L\'evy processes},
author = {Orimar Sauri and E. D. Almut Veraart},
journal= {arXiv preprint arXiv:1505.00186},
year = {2015}
}