On fractional stable processes and sheets: white noise approach

DOI10.1016/J.JMAA.2006.02.020MaRDI QIDQ854079zbMATH OpenOpenAlexFDO

Authors Chujin Li, Zhi Yuan Huang

Publication date 7 December 2006

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2006.02.020

zbMATH Keywords

fractional integrationfractional stable processesstable white noise

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Review text

Let \(1<\alpha<2\) and \(0<\beta<1- 1/\alpha\). The authors investigate so-called \(\beta\)-fractional \(\alpha\)-stable processes \(X_\alpha^\beta\) defined by \[ X_\alpha^\beta(t):=\frac{1}{\beta\,\Gamma(\beta)}\int_{-\infty}^t [(t-u)^\beta-(-u)^\beta_+]\d X_\alpha(u) \] where \(X_\alpha\) is a standard \(\alpha\)-stable Lévy motion. The new ingredient in that paper is a white noise approach (w.r.t.~the pairing of \(\mathcal S(\mathbb R)\) and \(\mathcal S'(\mathbb R)\)) to construct these processes via fractional integration operators of Riemann-Liouville type.

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Cited in

(18)

• Gradient type noises. II: Systems of stochastic partial differential equations
• A white noise approach to stochastic partial differential equations driven by the fractional Lévy noise
• Impact of correlated noises on additive dynamical systems
• Scaling limits of solutions of linear stochastic differential equations driven by Lévy white noises
• Generalized fractional Lévy random fields on Gel'fand triple: a white noise approach
• Fractional generalized Lévy random fields as white noise functionals
• Space–Time Duality for Fractional Diffusion
• GENERALIZED FRACTIONAL LÉVY PROCESSES: A WHITE NOISE APPROACH
• On the Besov regularity of periodic Lévy noises
• A non-conservation stochastic partial differential equation driven by anisotropic fractional Lévy random field
• FRACTIONAL LÉVY PROCESSES AND NOISES ON GEL′FAND TRIPLE
• Synthesis of multifractional Gaussian noises based on variable-order fractional operators
• Collision local times of two independent fractional Brownian motions
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• Analysis of stable white noise functionals
• Complex-order scale-invariant operators and self-similar processes
• A class of processes defined in the white noise space through generalized fractional operators
• Fractional Lévy processes on Gel'fand triple and stochastic integration

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