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

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

2006-01-09

arxiv.org/abs/math/0601173v2

Mathematics

Probability

Scientific paper

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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