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- W2728855978 abstract "Subordinating a multivariate Levy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Levy process, provided the subordinator and the subordinate are independent processes. The variance-gamma model in finance was generated accordingly from a Brownian motion and a gamma process. Alternatively, multivariate subordination can be used to create Levy processes, but this requires the subordinate to have independent components. In this paper, we show that there exists another operation acting on pairs $(T,X)$ of Levy processes which creates a Levy process $Xodot T$. Here, $T$ is a subordinator, but $X$ is an arbitrary Levy process with possibly dependent components. We show that this method is an extension of both univariate and multivariate subordination and provide two applications. We illustrate our methods giving a weak formulation of the variance-$alpha$-gamma process that exhibits a wider range of dependence than using traditional subordination. Also, the variance generalised gamma convolution class of Levy processes formed by subordinating Brownian motion with Thorin subordinators is further extended using weak subordination." @default.
- W2728855978 created "2017-07-14" @default.
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- W2728855978 date "2016-09-15" @default.
- W2728855978 modified "2023-09-27" @default.
- W2728855978 title "Weak Subordination of Multivariate L'evy Processes and Variance Generalised Gamma Convolutions" @default.
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