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Variance Gamma process 3
n<-10000 dt<-0.01 t<-0 x<-0 g<-rgamma(n, dt, rate = 1) h<-rgamma(n, dt, rate = 1) t<-cumsum(rep(dt,n)) x<-cumsum(g)-cumsum(h) plot(t,x,type='l') l<-1/dt u<-ppoints(length(diff(x,lag=l))) plot(-sign(u-0.5)*log(1-2*abs(u-0.5)),sort(diff(x,lag=l)))
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