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• W2963332227 abstract "Weak variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we extend a result from strong to weak subordination that a driftless Brownian motion gives rise to a self-decomposable process. Under moment conditions on the underlying Thorin measure, we show that this condition is also necessary. We apply our results to some prominent processes such as the weak variance alpha–gamma process, and illustrate the necessity of our moment conditions in some cases." @default.
• W2963332227 created "2019-07-30" @default.
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• W2963332227 date "2020-02-01" @default.
• W2963332227 modified "2023-09-30" @default.
• W2963332227 title "Self-decomposability of weak variance generalised gamma convolutions" @default.
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• W2963332227 doi "https://doi.org/10.1016/j.spa.2019.02.012" @default.
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