Showing papers on "Subordinator published in 1996"
TL;DR: In this article, the authors use a connection between the iterated Brownian motion and the stable subordinator of index 1 4 to derive information on the path behaviour of the former.
30 citations
TL;DR: In this paper, a stochastic fluid network with independent subordinator inputs to the various stations and deterministic internal flow which is of feed-forward type is considered, and it is shown that under suitable conditions the process of fluid contents in the station has a limiting distribution, where the limit holds in total variation and is independent of the initial condition.
Abstract: We consider a stochastic fluid network with independent subordinator inputs to the various stations and deterministic internal flow which is of feed-forward type. We show that under suitable conditions the process of fluid contents in the station has a limiting distribution, where the limit holds in total variation and is independent of the initial condition. We also show that this limiting distribution is of product form only for trivial setups.
14 citations
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TL;DR: In this article, a general subordinated stochastic process is proposed to model the dynamics of the underlying asset of an option, and it is shown that this class of models can be considered generically as the limit of discrete time models in which the number of transactions is random.
Abstract: A general subordinated stochastic process is proposed to model the dynamics of the underlying asset of an option. We prove that this class of models can be considered generically as the limit of discrete time models in which the number of transactions is random. We also derive several results for the valuation of contingent claims in this framework. In particular, we compare the impacts of different choices of subordinator processes on the option valuation. (This abstract was borrowed from another version of this item.)
2 citations