V. Panov (Universität Duisburg-Essen)
Subordination of stochastic processes
This talk is devoted to a kind of transformations of a stochastic process to a new stochastic process through random time change. For the time change, we use non-decreasing L{"e}vy processes, which are usually referred as subordinators. Such transformations of stochastic processes, known as subordinations, lead to many well-known stochastic models, and have a clear economical interpretation. In this talk, we give a review of the most important theoretical facts related to subordinators and present some new results concerning the consistent estimation of the parameters in this class of models.
| 13.12.2012 | |