Distributions of selfsimilar and semi-selfsimilar processes with independent increments (Q1977639): Difference between revisions

Selfsimilar stochastic processes with independent and stationary increments are stable Lévy processes and we thus have full knowledge of their distribution, but much less is known for selfsimilar stochastic processes whose increments are only stationary or only independent. The authors give necessary and sufficient conditions for the marginal and the finite joint distributions of selfsimilar stochastic processes with independent increments to be selfdecomposable, and, furthermore, to belong to the subclasses \(L_m({\mathbb R}^d)\) of the class of selfdecomposable distributions introduced by \textit{K. Urbanik} [Bull. Acad. Pol. Sci., Sér. Sci. Math. Astron. Phys. 20, 679-682 (1972; Zbl 0251.60012)]. They also obtain analogous results for semi-selfsimilar stochastic processes. This notion was introduced by \textit{M. Maejima} and \textit{K.-i. Sato} [J. Theor. Probab. 12, No. 2, 347-373 (1999; Zbl 0932.60043)].