In the mathematics of probability, a subordinator is a concept related to stochastic processes. A subordinator is itself a stochastic process of the evolution of time within another stochastic process, the subordinated stochastic process. In other words, a subordinator will determine the random number of "time steps" that occur within the subordinated process for a given unit of chronological time.
The variance gamma process can be described as a Brownian motion subject to a gamma subordinator. If a Brownian motion, , with drift is subjected to a random time change which follows a gamma process, , the variance gamma process will follow:
- Applebaum, D. "Lectures on Lévy processes and Stochastic calculus, Braunschweig; Lecture 2: Lévy processes" (PDF). University of Sheffield. pp. 37–53.
- Lévy Processes and Stochastic Calculus (2nd ed.). Cambridge: Cambridge University Press. 2009-05-11. ISBN 9780521738651.
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