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Document type:
Working Paper 
Author(s):
Mai, J.-F.; Scherer, M. 
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 (non-decreasing paths, infinitely divisible (ID) law at any point in time) is generalized to a family of non-decreasing 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 (IDT), meaning that a path can be represented in distribution as a f...    »
 
Keywords:
strong IDT subordinator; ID law; Pickands dependence function; Bondesson class; Bernstein function. 
Contracting organization:
Lehrstuhl für Finanzmathematik 
Year:
2018 
TUM Institution:
Lehrstuhl für Finanzmathematik 
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