Variance gamma process (original) (raw)

In the theory of stochastic processes, a part of the mathematical theory of probability, the variance gamma process (VG), also known as Laplace motion, is a Lévy process determined by a random time change. The process has finite moments distinguishing it from many Lévy processes. There is no diffusion component in the VG process and it is thus a pure jump process. The increments are independent and follow a variance-gamma distribution, which is a generalization of the Laplace distribution. where On the early history of the variance-gamma process see Seneta (2000).