Representation and properties of CGPII processes

By Ole E. Barndorff-Nielsen and Jan Pedersen
Thiele Research Reports
No. 03, March 2009
Abstract:
It is shown that the class of conditionally Gaussian processes with independent increments is stable under marginalisation and conditioning. Moreover, in general such processes can be represented as integrals of a time changed Brownian motion where the time change and the integrand are jointly independent of the Brownian motion. Examples are given.
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