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CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators

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 Added by Marc Yor
 Publication date 2006
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and research's language is English




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We describe the CGMY and Meixner processes as time changed Brownian motions. The CGMY uses a time change absolutely continuous with respect to the one-sided stable $(Y/2)$ subordinator while the Meixner time change is absolutely continuous with respect to the one sided stable $(1/2)$ subordinator$.$ The required time changes may be generated by simulating the requisite one-sided stable subordinator and throwing away some of the jumps as described in Rosinski (2001).



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111 - Bruno Toaldo 2014
The study of distributed order calculus usually concerns about fractional derivatives of the form $int_0^1 partial^alpha u , m(dalpha)$ for some measure $m$, eventually a probability measure. In this paper an approach based on Levy mixing is proposed. Non-decreasing Levy processes associated to Levy triplets of the form $l a(y), b(y), u(ds, y) r$ are considered and the parameter $y$ is randomized by means of a probability measure. The related subordinators are studied from different point of views. Some distributional properties are obtained and the interplay with inverse local times of Markov processes is explored. Distributed order integro-differential operators are introduced and adopted in order to write explicitly the governing equations of such processes. An application to slow diffusions is discussed.
191 - A. Gnedin , J. Pitman , M. Yor 2004
For $widetilde{cal R} = 1 - exp(- {cal R})$ a random closed set obtained by exponential transformation of the closed range ${cal R}$ of a subordinator, a regenerative composition of generic positive integer $n$ is defined by recording the sizes of clusters of $n$ uniform random points as they are separated by the points of $widetilde{cal R}$. We focus on the number of parts $K_n$ of the composition when $widetilde{cal R}$ is derived from a gamma subordinator. We prove logarithmic asymptotics of the moments and central limit theorems for $K_n$ and other functionals of the composition such as the number of singletons, doubletons, etc. This study complements our previous work on asymptotics of these functionals when the tail of the Levy measure is regularly varying at $0+$.
In a previous paper, we have shown that the gamma subordinators may be represented as inverse local times of certain diffusions. In the present paper, we give such representations for other subordinators whose Levy densities are of the form $ frac{mathcal{C}}{(sinh(y))^gamma}$, $0 < gamma < 2$, and the more general family obtained from those by exponential tilting.
It is well-known that compositions of Markov processes with inverse subordinators are governed by integro-differential equations of generalized fractional type. This kind of processes are of wide interest in statistical physics as they are connected to anomalous diffusions. In this paper we consider a generalization; more precisely we mean componentwise compositions of $mathbb{R}^d$-valued Markov processes with the components of an independent multivariate inverse subordinator. As a possible application, we present a model of anomalous diffusion in anisotropic medium, which is obtained as a weak limit of suitable continuous-time random walks.
We consider a class of tempered subordinators, namely a class of subordinators with one-dimensional marginal tempered distributions which belong to a family studied in [3]. The main contribution in this paper is a non-central moderate deviations result. More precisely we mean a class of large deviation principles that fill the gap between the (trivial) weak convergence of some non-Gaussian identically distributed random variables to their common law, and the convergence of some other related random variables to a constant. Some other minor results concern large deviations for the inverse of the tempered subordinators considered in this paper; actually, in some results, these inverse processes appear as random time-changes of other independent processes.
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