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

Dilip Madan; Marc Yor

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

Dilip Madan·Marc Yor

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Abstract

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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BibTeX RIS

Dilip Madan, Marc Yor. 2006-01-12. CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators. https://arxiv.org/abs/math/0601173

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