Series representations for bivariate time-changed L{\'e}vy models
Statistics Theory
2015-03-10 v1 Probability
Statistics Theory
Abstract
In this paper, we analyze a L{\'e}vy model based on two popular concepts - subordination and L{\'e}vy copulas. More precisely, we consider a two-dimensional L{\'e}vy process such that each component is a time-changed (subordinated) Brownian motion and the dependence between subordinators is described via some L{\'e}vy copula. We prove a series representation for our model, which can be efficiently used for simulation purposes, and provide some practical examples based on real data
Keywords
Cite
@article{arxiv.1503.02214,
title = {Series representations for bivariate time-changed L{\'e}vy models},
author = {Vladimir Panov and Igor Sirotkin},
journal= {arXiv preprint arXiv:1503.02214},
year = {2015}
}
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24 pages