A variance gamma process. This can be constructed as a Brownian motion time changed by a gamma process, or as the difference of two independent gamma processes. Variance gamma processes are examples of Lévy processes with finite variation, but infinitely many jumps, on every time interval.

## 1 Comment »

RSS feed for comments on this post. TrackBack URI

i would like to know more about the behavior of their levy measure.Thanks

Comment by mawaki — 4 February 12 @ 1:22 PM |