On the class of distributions of subordinated Lévy processes and bases

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• 作者：Orimar Sauri^a ; ^{osauri@math.au.dk} ; Almut E.D. Veraart^b ; ^{a.veraart@imperial.ac.uk}
• 关键词：Subordination ; Lé ; vy basis ; Lé ; vy processes ; Lé ; vy mixing ; Lé ; vy semistationary processes ; Recovery problem
• 刊名：Stochastic Processes and their Applications
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：127
• 期：2
• 页码：475-496
• 全文大小：348 K
• 卷排序：127

文摘

This article studies the class of distributions obtained by subordinating Lévy processes and Lévy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via Lévy mixing. We show that our results can be used to solve the so-called recovery problem for general Lévy bases as well as for moving average processes which are driven by subordinated Lévy processes.