Imperial College London
Alternate

ProfessorAlmutVeraart

Faculty of Natural Sciences, Department of Mathematics

Head of the Statistics Section, Professor of Statistics
 
 
 
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Contact

 

+44 (0)20 7594 8545a.veraart Website

 
 
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Location

 

551Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Sauri:10.1016/j.spa.2016.06.015,
author = {Sauri, O and Veraart, A},
doi = {10.1016/j.spa.2016.06.015},
journal = {Stochastic Processes and Their Applications},
title = {On the class of distributions of subordinated Lévy processes},
url = {http://dx.doi.org/10.1016/j.spa.2016.06.015},
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - This article studies the class of distributions obtained by subordinating L´evyprocesses and L´evy bases by independent subordinators and meta-times. To dothis we derive properties of a suitable mapping obtained via L´evy mixing. Weshow that our results can be used to solve the so-called recovery problem forgeneral L´evy bases as well as for moving average processes which are driven bysubordinated L´evy processes.
AU  - Sauri,O
AU  - Veraart,A
DO  - 10.1016/j.spa.2016.06.015
SN  - 0304-4149
TI  - On the class of distributions of subordinated Lévy processes
T2  - Stochastic Processes and Their Applications
UR  - http://dx.doi.org/10.1016/j.spa.2016.06.015
UR  - http://hdl.handle.net/10044/1/33753
ER  -
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