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Статья

Series representations for multivariate time-changed Levy models

Methodology and Computing in Applied Probability. 2017. Vol. 19. No. 1. P. 97-119.

In this paper, we analyze a Lévy model based on two popular concepts - subordination and Lévy copulas. More precisely, we consider a two-dimensional Lévy process such that each component is a time-changed (subordinated) Brownian motion and the dependence between subordinators is described via some Lévy copula. The main result of this paper is the series representation for our model, which can be efficiently used for simulation purposes. © 2015 Springer Science+Business Media New York