On the class of distributions of subordinated Lévy processes

Orimar Sauri; E. D. Almut Veraart

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arXiv · 1505.00186

On the class of distributions of subordinated Lévy processes

Orimar Sauri·E. D. Almut Veraart

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Abstract

This article study the class of distributions obtained by subordinating Lévy processes and Lévy bases. 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.

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Orimar Sauri, E. D. Almut Veraart. 2015-05-01. On the class of distributions of subordinated Lévy processes. https://arxiv.org/abs/1505.00186

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