Retrieving information from subordination

Details Retrieving information from subordination Retrieving information from subordination

2010-05-18

arxiv.org/abs/1005.3187v1

Mathematics

Probability

Scientific paper

We show that if $(X_s, s\geq 0)$ is a right-continuous process, $Y_t=\int_0^t\d s X_s$ its integral process and $\tau = (\tau_{\ell}, \ell \geq 0)$ a subordinator, then the time-changed process $(Y_{\tau_{\ell}}, \ell\geq 0)$ allows to retrieve the information about $(X_{\tau_{\ell}}, \ell\geq 0)$ when $\tau$ is stable, but not when $\tau$ is a gamma subordinator. This question has been motivated by a striking identity in law involving the Bessel clock taken at an independent inverse Gaussian variable.

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