Possible sample paths of self-similar \(\alpha\)-stable processes (Q1324607): Difference between revisions

The \(H\)-self-similar \(\alpha\)-stable processes with stationary increments are considered and all possibilities for sample path properties are described for all pairs \((\alpha, H)\). Thus, this paper completes the results of \textit{N. Kôno} and \textit{M. Maejima} [Tokyo J. Math. 14, No. 1, 93-100 (1991; Zbl 0728.60042) and Stable processes and related topics, Sel. Pap. Workshop, Ithaca/NY (USA) 1990, Prog. Probab. 25, 275-295 (1991; Zbl 0728.60041)]. They have discussed possible sample paths of S\(\alpha\)S \(H\)-sssi processes with parameters in different parts of \({\mathcal P}\). [It is known that the parameters \((\alpha, H)\) of non- degenerate S\(\alpha\)S \(H\)-sssi processes are restricted to the region \({\mathcal P}= \{0< \alpha\leq 2\), \(0< H\leq 1\vee 1/\alpha\}\).] In particular, they have discussed whether, for a given choice of \((\alpha, H)\), one can have a simple continuous or nowhere bounded process. Two regions (in a graphical presentation) are obtained, denoted \(C_ 1\) and \(C_ 2\). In the region \(C_ 1\) the only S\(\alpha\)S \(H\)-sssi processes are S\(\alpha\)S Lévy motion, which are neither sample continuous nor nowhere bounded. The author proposes to show that any choice of parameters \((\alpha, H)\) in the region \(C_ 2\) allows both continuous sample paths and nowhere bounded sample paths.