Group self-similar stable processes in \(\mathbb R^d\) (Q1426853)
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English | Group self-similar stable processes in \(\mathbb R^d\) |
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Group self-similar stable processes in \(\mathbb R^d\) (English)
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15 March 2004
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Let \(G\) be a group of transformations of a set \(T\) and for each \((g,t) \in G \times T\) let \(C(g,t): R^d \rightarrow R^d\) be a bijection satisfying \[ C(g_1g_2,t) = C(g_1,g_2(t))\circ C(g_2,t). \] An \(R^d\)-valued stochastic process \(\{ X_t : t\in T\}\) such that for each \(g\in G\) \[ \{ X_{g(t)} : t\in T\} \overset{\text{d}}{=} \{ C(g,t)X_t : t\in T\}, \] is called \(G\)-self-similar with cocycle \(C\). Let \(S\) be a Borel subset of a Polish space equipped with its Borel \(\sigma\)-field \({\mathcal B}\) and let \(\mu\) be a \(\sigma\)-finite measure on \({\mathcal B}\). If \(M\) is a strictly stable random measure of index \(\alpha\) on \((S, {\mathcal B})\) with control measure \(\mu\) and if \(\{ f_t : t\in T\} \subset L^{\alpha}(S, \mu, R^d)\), then \(X_t = \int_S f_t dM\), \(t\in T\), is a strictly stable process of index \(\alpha\) in \(R^d\). The pair \((f,M)\) is called a spectral representation of \(X\). The authors establish the uniqueness of such representations in terms of the corresponding group actions and cocycles.
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stable processes
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stochastic integral representation
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self-similarity
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group action
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cocycle
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