Semi-additive functionals and cocycles in the context of self-similarity

DOI10.7151/DMPS.1126MaRDI QIDQ3099281zbMATH OpenOpenAlexFDO

Authors Vladas Pipiras, Murad S. Taqqu

Publication date 1 December 2011

Published in Discussiones Mathematicae Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0405067, https://hdl.handle.net/2144/37412

zbMATH Keywords

stablemixed moving averagesself-similar process with stationary incrementsnonsingular flowssemi-additive functionals

Mathematics Subject Classification ID

Stable stochastic processes (60G52) Local time and additive functionals (60J55) Self-similar stochastic processes (60G18)

Abstract: Self-similar symmetric $alpha$-stable, $alphain(0,2)$, mixed moving averages can be related to nonsingular flows. By using this relation and the structure of the underlying flows, one can decompose self-similar mixed moving averages into distinct classes and then examine the processes in each of these classes separately. The relation between processes and flows involves semi-additive functionals. We establish a general result about semi-additive functionals related to cocycles, and identify the presence of a new semi-additive functional in the relation between processes and flows. This new functional is useful for finding the kernel function of self-similar mixed moving averages generated by a given flow. It also sheds new light on previous results on the subject.

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Cited in

(1)

• scientific article; zbMATH DE number 5053721 (Why is no real title available?)

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