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WEAK SUBORDINATION OF MULTIVARIATE LÉVY PROCESSES

Part of: Stochastic processes Applications Distribution theory - Probability Markov processes Parametric inference

Published online by Cambridge University Press:  09 July 2019

KEVIN W. LU Open the ORCID record for KEVIN W. LU [Opens in a new window]
KEVIN W. LU*
Affiliation:
Research School of Finance, Actuarial Studies and Statistics, Australian National University, Canberra, ACT 0200, Australia email kevin.lu@anu.edu.au
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Abstract

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Keywords

Brownian motiongamma processLévy processsubordinationmarked Poisson point processThorin measuregeneralised gamma convolutionlog returnFourier inversionmethod of momentsmaximum likelihood estimationself-decomposabilityBessel function

MSC classification

Primary: 60G51: Processes with independent increments; L'evy processes
Secondary: 60E07: Infinitely divisible distributions; stable distributions 60E10: Characteristic functions; other transforms 62F10: Point estimation 60J65: Brownian motion 60J75: Jump processes 62P05: Applications to actuarial sciences and financial mathematics

Information

Type
Abstracts of Australasian PhD Theses
Information
Bulletin of the Australian Mathematical Society , Volume 100 , Issue 3 , December 2019 , pp. 518 - 519
Copyright
© 2019 Australian Mathematical Publishing Association Inc. 

Footnotes

Thesis submitted to the Australian National University in April 2018; degree approved on 16 October 2018; primary supervisor Boris Buchmann; co-supervisors Ross Maller and Alan Welsh.

References

Buchmann, B., Lu, K. W. and Madan, D. B., ‘Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions’, Bernoulli 25(1) (2018), 742–770.Google Scholar
Buchmann, B., Lu, K. W. and Madan, D. B., ‘Calibration for weak variance-alpha-gamma processes’, Methodol. Comput. Appl. Probab. (2018), to appear, doi:10.1007/s11009-018-9655-y.Google Scholar
Buchmann, B., Lu, K. W. and Madan, D. B., ‘Self-decomposability of weak variance generalised gamma convolutions’, Stoch. Process. Appl. (2019), to appear, doi:10.1016/j.spa.2019.02.012.Google Scholar