In probability theory, a subordinator is a stochastic process that is non-negative and whose increments are stationary and independent.[1] Subordinators are a special class of Lévy process that play an important role in the theory of local time.[2] In this context, subordinators describe 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. In order to be a subordinator a process must be a Lévy process[3] It also must be increasing, almost surely,[3] or an additive process.[4]
A subordinator is a real-valued stochastic process
The variance gamma process can be described as a Brownian motion subject to a gamma subordinator.[3] If a Brownian motion,
The Cauchy process can be described as a Brownian motion subject to a Lévy subordinator.[3]
Every subordinator
where
The measure
Conversely, any scalar
![]() | Original source: https://en.wikipedia.org/wiki/Subordinator (mathematics).
Read more |