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Title:

Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws

Document type:
Zeitschriftenaufsatz
Author(s):
Mai J. F. and Scherer M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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.
Intellectual Contribution:
Discipline-based Research
Journal title:
Latin American Journal of Probability and Mathematical Statistics
Journal listet in FT50 ranking:
nein
Year:
2019
Journal issue:
16
Pages contribution:
1 - 29
Fulltext / DOI:
doi:10.30757/ALEA.v16
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
SDG:
;
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