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

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 نشر من قبل Marc Yor
 تاريخ النشر 2006
  مجال البحث
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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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