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math.PR2020
Necessity of weak subordination for some strongly subordinated Lévy processes
Boris Buchmann, Kevin W. Lu
Consider the strong subordination of a multivariate Lévy process with a multivariate subordinator. If the subordinate is a stack of independent Lévy processes and the components of…
math.PR2017
Selfdecomposability of Weak Variance Generalised Gamma Convolutions
Boris Buchmann, Kevin W. Lu, Dilip B. Madan
Weak variance generalised gamma convolution processes are multivariate Brownian motions weakly subordinated by multivariate Thorin subordinators. Within this class, we extend a res…
math.PR2016
Weak Subordination of Multivariate Lévy Processes and Variance Generalised Gamma Convolutions
Boris Buchmann, Kevin Lu, Dilip B. Madan
Subordinating a multivariate Lévy process, the subordinate, with a univariate subordinator gives rise to a pathwise construction of a new Lévy process, provided the subordinator an…