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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, Jan-Frederik; Scherer, Matthias 
Title:
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws 
Abstract:
The concept of a Lévy subordinator is generalized to a family of nondecreasing stochastic processes, which are parameterized in terms of two Bernstein functions. Whereas the independent increments property is only maintained in the Lévy subordinator special case, the considered family is always strongly infinitely divisible with respect to time, meaning that a path can be represented in distribution as a finite sum with arbitrarily many summands of independent and identically distributed paths...    »
 
Keywords:
strong IDT subordinator; ID law; Pickands dependence function; Bondesson class; Bernstein function. 
Journal title:
Latin American Journal of Probability and Mathematical Statistics 
Year:
2019 
Journal issue:
16 
Pages contribution:
1 - 29 
Fulltext / DOI:
TUM Institution:
Lehrstuhl für Finanzmathematik 
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