On the class of distributions of subordinated Lévy processes

2015/05/01 by Orimar Sauri, Sauri, Orimar, E. D. Almut Veraart +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1505.00186

arxiv created 2015/05/01 · arxiv updated 2015/05/04

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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