Multivariate Gamma Subordinator and Time-Changed Counting Process
Analysis
Key Takeaways
- •Investigates a multivariate gamma subordinator with independent gamma processes.
- •Derives explicit formulas for key properties of the subordinator and its time-changed variant.
- •Applies the time-changed process to a shock model, suggesting potential applications.
“The paper derives explicit expressions for the joint Laplace-Stieltjes transform, probability density function, and governing differential equations of the multivariate gamma subordinator.”