An integral representation of dilatively stable processes with independent increments

DOI10.1016/J.SPA.2016.06.006zbMATH Open1353.60049arXiv1603.03569OpenAlexW2293172790MaRDI QIDQ347477FDOQ347477

T. Bhatti, Peter Kern

Publication date: 30 November 2016

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

Abstract: Dilative stability generalizes the property of selfsimilarity for infinitely divisible stochastic processes by introducing an additional scaling in the convolution exponent. Inspired by results of Igl'oi, we will show how dilatively stable processes with independent increments can be represented by integrals with respect to time-changed L'evy processes. Via a Lamperti-type transformation these representations are shown to be closely connected to translatively stable processes of Ornstein-Uhlenbeck-type, where translative stability generalizes the notion of stationarity. The presented results complement corresponding representations for selfsimilar processes with independent increments known from the literature.

Full work available at URL: https://arxiv.org/abs/1603.03569

zbMATH Keywords

Ornstein-Uhlenbeck processinfinite divisibilityadditive processLamperti transformdilative stabilityquasi-selfsimilar processrandom integral representationtime-stable processtranslative stability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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