Meta-Times and Extended Subordination

Ole Eiler Barndorff-Nielsen, Jan Skov Pedersen · Theory of Probability and Its Applications · 2012

The problem of defining subordination of a homogeneous Lévy basis by a non-negative homogeneous Lévy basis is discussed. An explicit construction, generalizing the usual one-dimensional case, is given. This construction involves certain random meta-time changes.

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