Multistable processes and localizability

DOI10.1080/15326349.2012.699766MaRDI QIDQ3167897zbMATH OpenOpenAlexFDO

Authors Lining Liu, Kenneth J. Falconer

Publication date 29 October 2012

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1007.4932, http://hdl.handle.net/10023/3560

zbMATH Keywords

localizablemultistable measuremultistable processscaling limitstable process

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Abstract: We use characteristic functions to construct alpha(x)-multistable measures and integrals, where the measures behave locally like alpha-stable measures, but with the stability index alpha(x) varying with time x. This enables us to construct alpha(x)-multistable processes on R, that is processes whose scaling limit at time x is an alpha(x)-stable process. We present several examples of such multistable processes and examine their localisability.

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