On two multistable extensions of stable Lévy motion and their semi-martingale representations

DOI10.1007/S10959-013-0528-6zbMATH Open1328.60119arXiv1209.2236OpenAlexW2053462184MaRDI QIDQ895905FDOQ895905

Authors: Ronan Le Guével, Jacques Lévy-Véhel, Lining Liu 

Publication date: 7 December 2015

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We compare two definitions of multistable L'evy motions. Such processes are extensions of classical L'evy motion where the stability index is allowed to vary in time. We show that the two multistable L'evy motions have distinct properties: in particular, one is a pure-jump Markov process, while the other one satisfies neither of these properties. We prove that both are semimartingales and provide semimartingale decompositions.

Full work available at URL: https://arxiv.org/abs/1209.2236

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zbMATH Keywords

multistable processsemi-martingalespure jump Markov processLévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52)

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Cited In (12)

• Multifractional Poisson process, multistable subordinator and related limit theorems
• Linear multifractional stable motion: fine path properties
• The Hausdorff dimension of the range of the Lévy multistable processes
• Self-stabilizing processes
• Some further results on the tempered multistable approach
• Semi-Markov models and motion in heterogeneous media
• Time-inhomogeneous fractional Poisson processes defined by the multistable subordinator
• Title not available (Why is that?)
• Goodness-of-fit test for multistable Lévy processes
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