Abstract: We introduce a scale invariance property for Poisson point processes and use this property to define a series representation for a correlated bivariate gamma process. This approach is quite general and can be used to define other types of multidimensional Lévy processes with given marginals. Some important special cases are bivariate -processes, bivariate variance gamma processes and multivariate Dirichlet processes. Using the scale invariance principle we show how to construct simple approximations to these multivariate processes.
Key words and phrases: Correlated process, easure, G-measure.