Tempered fractional multistable motion and tempered multifractional stable motion

DOI10.1051/PS/2018012MaRDI QIDQ4629949zbMATH OpenOpenAlexFDO

Authors Xiequan Fan, Jacques Lévy-Véhel

Publication date 28 March 2019

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.06691

zbMATH Keywords

localisabilitylong-range dependencemultifractional processesmultistable processessample pathsstable processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sample path properties (60G17) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52)

Abstract: This work defines two classes of processes, that we term {it tempered fractional multistable motion} and {it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion, respectively, obtained by adding an exponential tempering to the integrands. We investigate certain basic features of these processes, including scaling property, tail probabilities, absolute moment, sample path properties, pointwise H"{o}lder exponent, H"{o}lder continuity of quasi norm, (strong) localisability and semi-long-range dependence structure. These processes may provide useful models for data that exhibit both dependence and varying local regularity/intensity of jumps.

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
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• Stochastic properties of the linear multifractional stable motion
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Cited in

(14)

• Some further results on the tempered multistable approach
• Tempered fractional Brownian and stable motions of second kind
• How does tempering affect the local and global properties of fractional Brownian motion?
• Self-stabilizing processes based on random signs
• On fractional tempered stable motion
• Tempered fractional stable motion
• On Weighted Tempered Moving Averages Processes
• Higher order fractional stable motion: hyperdiffusion with heavy tails
• Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model
• Incremental moments and Hölder exponents of multifractional multistable processes
• Indicator fractional stable motions
• Generalized Hermite process: tempering, properties and applications
• The fractional multivariate normal tempered stable process
• On two multistable extensions of stable Lévy motion and their semi-martingale representations

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