English

Retrieving information from subordination

Probability 2010-05-20 v1

Abstract

We show that if (Xs,s0)(X_s, s\geq 0) is a right-continuous process, Yt=0t\dsXsY_t=\int_0^t\d s X_s its integral process and τ=(τ,0)\tau = (\tau_{\ell}, \ell \geq 0) a subordinator, then the time-changed process (Yτ,0)(Y_{\tau_{\ell}}, \ell\geq 0) allows to retrieve the information about (Xτ,0)(X_{\tau_{\ell}}, \ell\geq 0) when τ\tau is stable, but not when τ\tau is a gamma subordinator. This question has been motivated by a striking identity in law involving the Bessel clock taken at an independent inverse Gaussian variable.

Cite

@article{arxiv.1005.3187,
  title  = {Retrieving information from subordination},
  author = {Jean Bertoin and Marc Yor},
  journal= {arXiv preprint arXiv:1005.3187},
  year   = {2010}
}
R2 v1 2026-06-21T15:24:25.943Z