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- Variance_gamma_process abstract "In the theory of stochastic processes, a part of the mathematical theory of probability, the variance gamma process (VG), also known as Laplace motion, is a Lévy process determined by a random time change. The process has finite moments distinguishing it from many Lévy processes. There is no diffusion component in the VG process and it is thus a pure jump process. The increments are independent and follow a Variance-gamma distribution, which is a generalization of the Laplace distribution. There are several representations of the VG process that relate it to other processes. It can for example be written as a Brownian motion with drift subjected to a random time change which follows a gamma process (equivalently one finds in literature the notation ):An alternative way of stating this is that the variance gamma process is a Brownian motion subordinated to a Gamma subordinator.Since the VG process is of finite variation it can be written as the difference of two independent gamma processes:whereAlternatively it can be approximated by a compound Poisson process that leads to a representation with explicitly given (independent) jumps and their locations. This last characterization gives an understanding of the structure of the sample path with location and sizes of jumps.On the early history of the variance-gamma process see Seneta (2000).".
- Variance_gamma_process thumbnail Variance-Gamma-process.png?width=300.
- Variance_gamma_process wikiPageID "20809590".
- Variance_gamma_process wikiPageRevisionID "566962082".
- Variance_gamma_process hasPhotoCollection Variance_gamma_process.
- Variance_gamma_process subject Category:Stochastic_processes.
- Variance_gamma_process type Abstraction100002137.
- Variance_gamma_process type Cognition100023271.
- Variance_gamma_process type Concept105835747.
- Variance_gamma_process type Content105809192.
- Variance_gamma_process type Hypothesis105888929.
- Variance_gamma_process type Idea105833840.
- Variance_gamma_process type Model105890249.
- Variance_gamma_process type PsychologicalFeature100023100.
- Variance_gamma_process type StochasticProcess113561896.
- Variance_gamma_process type StochasticProcesses.
- Variance_gamma_process comment "In the theory of stochastic processes, a part of the mathematical theory of probability, the variance gamma process (VG), also known as Laplace motion, is a Lévy process determined by a random time change. The process has finite moments distinguishing it from many Lévy processes. There is no diffusion component in the VG process and it is thus a pure jump process. The increments are independent and follow a Variance-gamma distribution, which is a generalization of the Laplace distribution.".
- Variance_gamma_process label "Variance gamma process".
- Variance_gamma_process sameAs m.054kx_n.
- Variance_gamma_process sameAs Q7915764.
- Variance_gamma_process sameAs Q7915764.
- Variance_gamma_process sameAs Variance_gamma_process.
- Variance_gamma_process wasDerivedFrom Variance_gamma_process?oldid=566962082.
- Variance_gamma_process depiction Variance-Gamma-process.png.
- Variance_gamma_process isPrimaryTopicOf Variance_gamma_process.
