Path properties of dilatively stable processes and singularity of their distributions
From MaRDI portal
Publication:4648513
Abstract: First, we present some results about the H"older continuity of the sample paths of so called dilatively stable processes which are certain infinitely divisible processes having a more general scaling property than self-similarity. As a corollary, we obtain that the most important (H,delta)-dilatively stable limit processes (e.g., the LISOU and the LISCBI processes, see Igloi [4]) almost surely have a local H"older exponent H. Next we prove that, under some slight regularity assumptions, any two dilatively stable processes with stationary increments are singular (in the sense that their distributions have disjoint supports) if their parameters H are different. We also study the more general case of not having stationary increments. Throughout the paper we specialize our results to some basic dilatively stable processes such as the above-mentioned limit processes and the fractional L'evy process.
Recommendations
Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 2031102 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- scientific article; zbMATH DE number 2168996 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- A self-similar process with nowhere bounded sample paths
- Absolute continuity/singularity and relative entropy properties for probability measures induced by diffusions on infinite time intervals
- Fractional Lévy processes with an application to long memory moving average processes
- Hölder continuity of sample paths of some self-similar stable processes
- On roughness indices for fractional fields
- Optimal local Hölder index for density states of superprocesses with \((1+\beta )\)-branching mechanism
- Possible sample paths of self-similar \(\alpha\)-stable processes
- Sample path properties of self-similar processes with stationary increments
- Singularity of Fractional Brownian Motions with Different Hurst Indices
- Singularity of two diffusions on \({\mathcal C}_ \infty\)
- The multifractal nature of Lévy processes
Cited in
(9)- On path properties of certain infinitely divisible processes
- Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
- On some path properties of symmetric stable-like processes for one dimension
- Path properties of a class of locally asymptotically self similar processes
- Path-distribution dependent SDEs with singular coefficients
- α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
- Dilatively stable stochastic processes and aggregate similarity
- Series Representation of Time-Stable Stochastic Processes
- Path developments and tail asymptotics of signature for pure rough paths
This page was built for publication: Path properties of dilatively stable processes and singularity of their distributions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4648513)
