CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
Dilip Madan, Marc Yor
Abstract
We describe the CGMY and Meixner processes as time changed Brownian motions. The CGMY uses a time change absolutely continuous with respect to the one-sided stable (Y/2) subordinator while the Meixner time change is absolutely continuous with respect to the one sided stable (1/2) subordinator. The required time changes may be generated by simulating the requisite one-sided stable subordinator and throwing away some of the jumps as described in Rosinski (2001).
Create a lesson
Related papers
Distribution-constrained optimal multiple stopping: the Root-type solution
Shuoqing Deng, Daxin Huang
Universality and sharp thresholds for ellipsoid fitting
Frederic Koehler, Youngtak Sohn
Local Laws and Edge Universality for Noncentral Sample Covariance Matrices
Can Hu, Jiang Hu, Zhidong Bai
Well-posedness and regularity of stochastic heat equations on moving domains
Chongyang Ren, Tusheng Zhang
Traveling Waves in Equity Markets with Rank-Based Entry and Exit
Graeme Baker, Caroline Smyth
An approximate zero bias transformation for random sums: Applications to sampling with outliers, auto insurance, and generative AI
Wasamon Jantai, Nathakhun Wiroonsri