Aarhus Universitets segl

Lévy Bases and Extended Subordination

by Ole E. Barndorff-Nielsen
Thiele Research Reports Number 12 (September 2010)

The concept of subordination of Lévy processes is reinterpreted and then extended to a definition of subordination of Lévy bases. This is extended a step further, and then applied to give an alternative way of volatility/intermittency modulation in the context of ambit fields.

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