Universität Augsburg

Professor Dr. Boris Buchmann
Australian National University
spricht am
Donnerstag, 7. Dezember 2023
um
10:00 Uhr
im
Raum 3008 (L1)
über das Thema:
Abstract: 
Subordination is the operation which evaluates a Levy process at a subordinator, giving rise to a pathwise construction of a ``timechanged'' process. In probability semigroups, subordination was applied to create the variance gamma process, which is prominently used in financial modelling. However, subordination may not produce a levy process unless the subordinate has independent components or the subordinate has indistinguishable components. We introduce a new operation known as weak subordination that always produces a Levy process by assigning the distribution of the subordinate conditional on the value of the subordinator, and matches traditional subordination in law in the cases above. Weak subordination is applied to extend the class of variancegeneralised gamma convolutions and to construct the weak variancealphagamma process. The latter process exhibits a wider range of dependence than using traditional subordination. 
Hierzu ergeht herzliche Einladung. 
Prof. Dr. Gernot Müller 