Retrieving information from subordination
نویسندگان
چکیده
We show that if (Xs, s ≥ 0) is a right-continuous process, Yt = ∫ t 0 dsXs its integral process and τ = (τl, l ≥ 0) a subordinator, then the time-changed process (Yτl , l ≥ 0) allows to retrieve the information about (Xτl , l ≥ 0) when τ is stable, but not when τ is a gamma subordinator. This question has been motivated by a striking identity in law involving the Bessel clock taken at an independent inverse Gaussian variable.
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