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arXiv · 1802.02876

Multivariate subordination of stable processes

V. Panov·E. Samarin
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Abstract

This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical time-changed Brownian motions - for instance, it turns out that they are more appropriate for describing stock prices if the amount of transactions is used for a stochastic time change. In this paper, we provide a detailed discussion of the model, which is based on two popular concepts - multivariate subordination and L{\'e}vy copulas.

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V. Panov, E. Samarin. 2018-02-08. Multivariate subordination of stable processes. https://arxiv.org/abs/1802.02876

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