Lévy Process via Subordination

A Lévy process X(t) = B(T(t)) is constructed by time-changing a Brownian motion B with a stable subordinator T(t) (a non-decreasing Lévy process with index α). The resulting process has heavy-tailed increments and long waiting times. The subordinator produces a random clock that runs at variable speed.

Trajectories X(t) = B(T(t))
Subordinator T(t) (Random Clock)
Increment Distribution
Iris Lab · Lévy subordination · Stable processes · Heavy tails