On the Hougaard subordinated Gaussian Lévy processes

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• 作者：Bronius Grigelionis ; ^a ; ^{broniusgrig@gmail.com"" rel=""nofollow} ; ^{rpd@ktl.mii.lt"" rel=""nofollow}
• 关键词：Gaussian Lé ; vy process ; Hougaard process ; Ornstein– ; Uhlenbeck type process ; Self-decomposability ; Subordination
• 刊名：Statistics and Probability Letters
• 出版年：2011
• 出版时间：August 2011
• 年：2011
• 卷：81
• 期：8
• 页码：998-1002
• 全文大小：212 K

文摘

The Hougaard subordinated multivariate Gaussian Lévy processes are characterized. Necessary and sufficient conditions for their self-decomposability are given and related Ornstein–Uhlenbeck type processes are described.