Series Representation of Time-Stable Stochastic Processes

zbMATH Open1411.60073MaRDI QIDQ4631982FDOQ4631982

Authors Christoph Kopp, Ilya S. Molchanov 

Publication date 24 April 2019

Full work available at URL https://arxiv.org/abs/1504.02969

zbMATH Keywords

point processinfinite divisibilityLePage seriestime-stable processLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: A stochastically continuous process $xi(t)$, $tgeq0$, is said to be time-stable if the sum of $n$ i.i.d. copies of $xi$ equals in distribution to the time-scaled stochastic process $xi(nt)$, $tgeq0$. The paper advances the understanding of time-stable processes by means of their LePage series representations.

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Cited in

(9)

• The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay
• The infinite extendibility problem for exchangeable real-valued random vectors
• Sharp bounds on the survival function of exchangeable min-stable multivariate exponential sequences
• Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
• Canonical spectral representation for exchangeable max-stable sequences
• Stochastic integral and series representations for strictly stable distributions
• Time series path integral expansions for stochastic processes
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