The normal inverse Gaussian process is a subordinated Brownian motion, where the subordinator is a process with
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The normal inverse Gaussian process is a subordinated Brownian motion, where the subordinator is a process with drift η = 0, and Levy-measure
Prove that the Laplace-exponent is
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e- -dx p(dx) = V2лк х2 I(и) — VI - 2ик к к
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To prove that the Laplace exponent of the normal inverse Gaussian NIG process is given by Iu V12uK we will utilize the provided information about the ...View the full answer
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