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On the class of distributions of subordinated Lévy processes

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.

preprint2015arXivOpen access
Orimar SauriE. D. Almut Veraart
math.PR
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Open access2 authors1 topic
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Orimar SauriE. D. Almut Veraart

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