We describe the CGMY and Meixner processes as time changed Brownian motions.
The CGMY uses a time change absolutely continuous with respect to the one-sided
stable (Y/2) subordinator while the Meixner time change is absolutely
continuous with respect to the one sided stable (1/2) subordinator. The
required time changes may be generated by simulating the requisite one-sided
stable subordinator and throwing away some of the jumps as described in
Rosinski (2001)