On layered stable processes

DOI10.3150/07-BEJ5034zbMATH Open1121.60052arXivmath/0503742MaRDI QIDQ880486FDOQ880486

Authors: Christian Houdré, Reiichiro Kawai 

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Layered stable (multivariate) distributions and processes are defined and studied. A layered stable process combines stable trends of two different indices, one of them possibly Gaussian. More precisely, in short time, it is close to a stable process while, in long time, it approximates another stable (possibly Gaussian) process. We also investigate the absolute continuity of a layered stable process with respect to its short time limiting stable process. A series representation of layered stable processes is derived, giving insights into both the structure of the sample paths and of the short and long time behaviors. This series is further used for sample paths simulation.

Full work available at URL: https://arxiv.org/abs/math/0503742

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zbMATH Keywords

layered stable distribution and processstable distribution and processLévy process

Mathematics Subject Classification ID

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

Cited In (21)

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• Lévy processes: concentration function and heat kernel bounds
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• On the existence and position of the farthest peaks of a family of stochastic heat and wave equations
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• Progressive intrinsic ultracontractivity and heat kernel estimates for non-local Schrödinger operators
• Transition density estimates for jump Lévy processes
• Schauder estimates for degenerate Lévy Ornstein-Uhlenbeck operators
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes

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