CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators
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).
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