Localizable moving average symmetric stable and multistable processes

DOI10.1080/15326340903291321MaRDI QIDQ3653125zbMATH OpenOpenAlexFDO

Authors Ronan Le Guével, Jacques Lévy-Véhel, Kenneth J. Falconer

Publication date 18 December 2009

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0807.0764, https://hal.inria.fr/inria-00538980/file/MA-CS1RevisedSMDoubleSpaced.pdf, http://www.tandfonline.com/doi/abs/10.1080/15326340903291321

zbMATH Keywords

localizable processesmoving averagemultistable processes

Mathematics Subject Classification ID

Sample path properties (60G17) Stable stochastic processes (60G52) Random measures (60G57)

Abstract: We study a particular class of moving average processes which possess a property called localisability. This means that, at any given point, they admit a ``tangent process, in a suitable sense. We give general conditions on the kernel g defining the moving average which ensures that the process is localisable and we characterize the nature of the associated tangent processes. Examples include the reverse Ornstein-Uhlenbeck process and the multistable reverse Ornstein-Uhlenbeck process. In the latter case, the tangent process is, at each time t, a L'evy stable motion with stability index possibly varying with t. We also consider the problem of path synthesis, for which we give both theoretical results and numerical simulations.

Recommendations

• Multistable processes and localizability
• On local fluctuations of stable moving average processes
• Local time for stable moving average processes: Hölder conditions
• An estimation of the stability and the localisability functions of multistable processes
• Localisable, multifractional and multistable processes

Cites work

• A general framework for simulation of fractional fields
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3028224 (Why is no real title available?)
• Multifractional, multistable, and other processes with Prescribed local form
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Tangent fields and the local structure of random fields
• THE LOCAL STRUCTURE OF RANDOM PROCESSES

Cited in

(19)

• On local fluctuations of stable moving average processes
• Local nondeterminism for moving average stable processes
• Some further results on the tempered multistable approach
• A Ferguson-Klass-LePage series representation of multistable multifractional motions and related processes
• An estimation of the stability and the localisability functions of multistable processes
• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
• Linear multifractional stable motion: fine path properties
• Self-stabilizing processes based on random signs
• Multifractional Poisson process, multistable subordinator and related limit theorems
• Modulus of continuity of some conditionally sub-Gaussian fields, application to stable random fields
• Multistable processes and localizability
• THE LOCAL STRUCTURE OF RANDOM PROCESSES
• Behaviour of linear multifractional stable motion: membership of a critical Hölder space
• Tempered fractional multistable motion and tempered multifractional stable motion
• Self-stabilizing processes
• Localisable, multifractional and multistable processes
• Estimation of the multifractional function and the stability index of linear multifractional stable processes
• Multi operator-stable random measures and fields
• On two multistable extensions of stable Lévy motion and their semi-martingale representations

This page was built for publication: Localizable moving average symmetric stable and multistable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3653125)