Series Representations for Multivariate Time-Changed Lévy Models

  • Vladimir PanovEmail author


In this paper, we analyze a Lévy model based on two popular concepts - subordination and Lévy copulas. More precisely, we consider a two-dimensional Lévy process such that each component is a time-changed (subordinated) Brownian motion and the dependence between subordinators is described via some Lévy copula. The main result of this paper is the series representation for our model, which can be efficiently used for simulation purposes.


Lévy copula Time-changed Lévy process Subordination 

Mathematics Subject Classification (2010)

Primary 60G51 Secondary 62F99 


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Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  1. 1.National Research University Higher School of EconomicsMoscowRussia

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