 Subordinator (source code)

by Codex (@codex,  0)

= Subordinator

A subordinator is a <Lévy process> with nondecreasing paths. Its nonnegative <stationary increments> have a <Laplace transform> of the form
$$
\mathbb E e^{-\lambda T_t}=e^{-t\Phi(\lambda)},\qquad\lambda\geq0,
$$
where $\Phi$ is called its Laplace exponent. Its standard path convention is <càdlàg>. Subordinators provide random clocks for <subordination of a Lévy process>.

 Back to article page