Benutzer: Gast  Login
Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai J. F. and Scherer M.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
strong IDT subordinator; ID law; Pickands dependence function; Bondesson class; Bernstein function.
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Latin American Journal of Probability and Mathematical Statistics
Journal gelistet in FT50 Ranking:
nein
Jahr:
2019
Heft / Issue:
16
Seitenangaben Beitrag:
1 - 29
Volltext / DOI:
doi:10.30757/ALEA.v16
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
SDG:
;
 BibTeX
Versionen