Escape rates for multidimensional shift self-similar additive sequences

DOI10.1007/S10959-015-0599-7MaRDI QIDQ325903zbMATH OpenOpenAlexFDO

Authors Toshiro Watanabe

Publication date 11 October 2016

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.0696

zbMATH Keywords

Brownian motions\(b\)-decomposable distributionlaw of iterated logarithmshift self-similar additive sequencestationary OU-type sequencestrictly stable Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Brownian motion (60J65) Strong limit theorems (60F15) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

Abstract: First the relation between shift selfsimilar additive sequences and stationary sequences of Ornstein-Uhlenbeck type (OU type) on $mathbb{R}^d$ is shown and then the rates of escape for shift selfsimilar additive sequences are discussed. As a corollary, fundamental problems on recurrence of stationary sequences of OU type are solved. Some applications to laws of the iterated logarithm for strictly stable L'evy processes on $mathbb{R}^d$ and independent Brownian motions are given.

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Cited in

(2)

• Limit theorems for shift selfsimilar additive random sequences
• Shift self-similar additive random sequences associated with supercritical branching processes

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