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WEAK SUBORDINATION OF MULTIVARIATE LÉVY PROCESSES

Published online by Cambridge University Press:  09 July 2019

KEVIN W. LU*
Affiliation:
Research School of Finance, Actuarial Studies and Statistics, Australian National University, Canberra, ACT 0200, Australia email kevin.lu@anu.edu.au
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Abstract

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Type
Abstracts of Australasian PhD Theses
Copyright
© 2019 Australian Mathematical Publishing Association Inc. 

Footnotes

Thesis submitted to the Australian National University in April 2018; degree approved on 16 October 2018; primary supervisor Boris Buchmann; co-supervisors Ross Maller and Alan Welsh.

References

Buchmann, B., Lu, K. W. and Madan, D. B., ‘Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions’, Bernoulli 25(1) (2018), 742770.Google Scholar
Buchmann, B., Lu, K. W. and Madan, D. B., ‘Calibration for weak variance-alpha-gamma processes’, Methodol. Comput. Appl. Probab. (2018), to appear, doi:10.1007/s11009-018-9655-y.Google Scholar
Buchmann, B., Lu, K. W. and Madan, D. B., ‘Self-decomposability of weak variance generalised gamma convolutions’, Stoch. Process. Appl. (2019), to appear, doi:10.1016/j.spa.2019.02.012.Google Scholar