On Lévy-Fréchet processes and related self-similar and semi-self-similar ones (Q1610464): Difference between revisions

Let \(X(t)\) be the Lévy subordinator of index \(\alpha<1\), that is, \(X(t)\) has stationary independent increments subject to the one-sided stable law. It is well known that \(X(t)\) can be considered as a limit, \(\varepsilon\rightarrow 0\), of compound Poisson type process \(X^\varepsilon =\sum^{N^\varepsilon(t)}\chi_k^{\varepsilon}\). The extremal process is defined as \(X_{*}^\varepsilon(t)= \max(\varepsilon,\chi_1^\varepsilon,\ldots, \chi_{N^\varepsilon(t)}^\varepsilon).\) The Lévy-Fréchet process \(X_{*}(t)\) is the limit of the above process. The authors obtain some properties of this process: 1. Markov structure, 2. multipicative structure, 3. self-similarity. The authors also obtain that the inverse process has 1. independent increments, 2. self-similarity. The same construction can apply for the non-stable case \(1\leq\alpha\) and also the semi-stable case.