CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators. - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2006

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

Dilip Madan
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Résumé

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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Dates et versions

hal-00016662 , version 1 (09-01-2006)
hal-00016662 , version 2 (12-01-2006)

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Dilip Madan, Marc Yor. CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators.. 2006. ⟨hal-00016662v2⟩
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