Path properties of dilatively stable processes and singularity of their distributions

DOI10.1080/07362994.2012.704849zbMATH Open1260.60072arXiv1110.1233OpenAlexW2059157206MaRDI QIDQ4648513FDOQ4648513

Authors: Mátyás Barczy, E. Iglói 

Publication date: 9 November 2012

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

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.

Full work available at URL: https://arxiv.org/abs/1110.1233

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zbMATH Keywords

singularityself-similar processessample path propertiesHölder continuitydilatively stable processes

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18)

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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

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