Identification of periodic and cyclic fractional stable motions

DOI10.1214/07-AIHP139MaRDI QIDQ731690zbMATH OpenFDO

Authors Vladas Pipiras, Murad S. Taqqu

Publication date 8 October 2009

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0405086, https://eudml.org/doc/77985

zbMATH Keywords

fractional stable motionsself-similar processmixed moving averagesperiodic and cyclic flows

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Stable stochastic processes (60G52) General groups of measure-preserving transformations (28D15) Self-similar stochastic processes (60G18)

Abstract: Self-similar stable mixed moving average processes can be related to nonsingular flows through their minimal representations. Self-similar stable mixed moving averages related to dissipative flows have been studied, as well as processes associated with identity flows which are the simplest type of conservative flows. The focus here is on self-similar stable mixed moving averages related to periodic and cyclic flows. Periodic flows are conservative flows such that each point in the space comes back to its initial position in finite time, either positive or null. The flow is cyclic if the return time is positive. Self-similar mixed moving averages are called periodic, respectively cyclic, fractional stable motions if their minimal representations are generated by periodic, respectively cyclic, flows. These processes, however, are often defined by a nonminimal representation. We provide a way to detect whether they are periodic or cyclic even if their representation is nonminimal. By using these identification results, we obtain a more refined decomposition of self-similar mixed moving averages.

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Cited in

(5)

• Semi-additive functionals and cocycles in the context of self-similarity
• Indicator fractional stable motions
• Decomposition of self-similar stable mixed moving averages
• Integral representations of periodic and cyclic fractional stable motions
• Stable stationary processes related to cyclic flows.

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