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Meta-Times and Extended Subordination

by Ole E. Barndorff-Nielsen and Jan Pedersen
Thiele Research Reports Number 15 (December 2010)

The problem of defining subordination of a homogeneous Lévy basis by a non-negative homogeneous Lévy basis is discussed. An explicit construction, generalizing the usual one-dimensional case, is given. This construction involves certain random meta-time changes.

Keywords: Subordination; Lévy bases and sheets; meta-time change.

AMS Subject Classification: 60G51; 60G57

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