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

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dc.creatorMadan, Dilip
dc.creatorYor, Marc
dc.date2006-01-09
dc.date2006-01-12
dc.date.accessioned2026-07-07T06:58:39Z
dc.date.available2026-07-07T06:58:39Z
dc.descriptionWe 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).
dc.identifierhttps://arxiv.org/abs/math/0601173
dc.identifierhttp://arxiv.org/abs/math/0601173
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/107444
dc.subjectProbability
dc.subject60E07
dc.titleCGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
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