Log-fractional stable processes

DOI10.1016/0304-4149(88)90093-2MaRDI QIDQ750003zbMATH OpenOpenAlexWikidataFDO

Authors Yuji Kasahara, M. Maejima, Wim Vervaat

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90093-2

zbMATH Keywords

stable processlog- fractional stable processesself-similar process with stationary increments

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Self-similar stochastic processes (60G18) Foundations of stochastic processes (60G05)

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Cites work

• scientific article; zbMATH DE number 3980152 (Why is no real title available?)
• scientific article; zbMATH DE number 4012931 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A limit theorem related to a new class of self similar processes
• A remark on self-similar processes with stationary increments
• Infinite variance self-similar processes subordinate to a poisson measure
• Prediction of stable processes: Spectral and moving average representations
• Sample path properties of self-similar processes with stationary increments
• Semi-Stable Stochastic Processes
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes

Cited in

(15)

• On fractional stable processes and sheets: white noise approach
• AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
• Remembering Wim Vervaat
• Two classes of self-similar stable processes with stationary increments
• Infinite divisibility for stochastic processes and time change
• scientific article; zbMATH DE number 5244132 (Why is no real title available?)
• scientific article; zbMATH DE number 4133237 (Why is no real title available?)
• The asymptotic dependence structure of the linear fractional Lévy motion
• On extremal theory for self-similar processes
• Ruin probability with claims modeled by a stationary ergodic stable process.
• The structure of self-similar stable mixed moving averages
• The dependence structure of log-fractional stable noise with analogy to fractional Gaussian noise
• \((1/\alpha)\)-self similar \(\alpha\)-stable processes with stationary increments
• The asymptotic codifference and covariation of log-fractional stable noise
• Long range dependence for stable random processes

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