Self-stabilizing processes

DOI10.1080/15326349.2018.1521726MaRDI QIDQ4634189zbMATH OpenOpenAlexFDO

Authors Jacques Lévy-Véhel, Kenneth J. Falconer

Publication date 7 May 2019

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.02543

zbMATH Keywords

local formself-stabilizingstable process

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Abstract: We construct `self-stabilizing' processes {Z(t), t $in[t_0,t_1)$}. These are random processes which when `localized', that is scaled around t to a fine limit, have the distribution of an $alpha$(Z(t))-stable process, where $alpha$ is some given function on R. Thus the stability index at t depends on the value of the process at t. Here we address the case where $alpha$: R $o$ (0,1). We first construct deterministic functions which satisfy a kind of autoregressive property involving sums over a plane point set $Pi$. Taking $Pi$ to be a Poisson point process then defines a random pure jump process, which we show has the desired localized distributions.

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Cited in

(4)

• From infinite urn schemes to self-similar stable processes
• Self-stabilizing processes based on random signs
• Topological Self-Stabilization with Name-Passing Process Calculi
• Explicit and combined estimators for parameters of stable distributions

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