Stationary and self-similar processes driven by Lévy processes (Q1613667)
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scientific article; zbMATH DE number 1792563
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| English | Stationary and self-similar processes driven by Lévy processes |
scientific article; zbMATH DE number 1792563 |
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Stationary and self-similar processes driven by Lévy processes (English)
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29 August 2002
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The paper presents a construction of a (strictly) stationary process with prescribed one-dimensional law. The law is provided of type G, i.e. the law of a product \(\sigma W\) where \(W\) is a random vector with standard normal distribution and \(\sigma >0\) is a random variable independent with \(W\). The construction is based on integration along a bivariate Lévy process. Using classical transformation, due to Lamperti (1962), \(H\)-self-similar processes are derived and discussed for \(H\in (0,{1\over 2})\cup ({1\over 2},1)\).
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law of type G
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normal inverse Gaussian law
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(strictly) stationary random processes
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\(H\)-self-similar processes
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fractional Brownian motion
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0.7738142013549805
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0.7734926342964172
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