Semi-Stable Stochastic Processes
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(only showing first 100 items - show all)- Stationary self-similar extremal processes
- Self-similarity and Lamperti convergence for families of stochastic processes
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Random broken lines that weakly converge to a fractional Ornstein-Uhlenbeck process
- On Lamperti type limit theorem and scaling transition for random fields
- On a class of self-similar processes with stationary increments in higher order Wiener chaoses
- Operator self-similar processes and functional central limit theorems
- Queueing theory
- Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions
- Gaussian Volterra processes: Asymptotic growth and statistical estimation
- Operator self similar stochastic processes in \(R^ n\).
- Weak convergence with random indices
- On Weak Convergence in Dynamical Systems to Self-Similar Processes with Spectral Representation
- Well posedness and maximum entropy approximation for the dynamics of quantitative traits
- A family of random sup-measures with long-range dependence
- The exact measure functions of the images for a class of self-similar processes
- Some new classes of stationary max-stable random fields
- Hurst exponents and delampertized fractional Brownian motions
- Functional central limit theorems for rough volatility
- Stability of sampling proposals for reducible diffusions over large time intervals
- Invariance axioms and functional form restrictions in structural models
- A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
- Operator-self-similar stable processes
- Short-time near-the-money skew in rough fractional volatility models
- Convergence in law to operator fractional Brownian motion of Riemann-Liouville type
- On \(p\)-variation of bifractional Brownian motion
- Mixed stochastic heat equation with fractional Laplacian and gradient perturbation
- Spectral analysis of multifractional LRD functional time series
- Complex-order scale-invariant operators and self-similar processes
- Random walks with preferential relocations and fading memory: a study through random recursive trees
- A limit theorem related to a new class of self similar processes
- Linnik processes
- The Lamperti representation of real-valued self-similar Markov processes
- Self-similar co-ascent processes and Palm calculus
- Bivariate Markov chains converging to Lamperti transform Markov additive processes
- Location of the path supremum for self-similar processes with stationary increments
- Operator self-similar processes on Banach spaces
- Dilatively semistable stochastic processes
- Self-similar communication models and very heavy tails.
- Tangent fields, intrinsic stationarity, and self similarity
- Functional central limit theorem for heavy tailed stationary infinitely divisible processes generated by conservative flows
- The change-point problem for dependent observations
- On some local asymptotic properties of sequences with a random index
- Limit theorems for sums of linearly generated random variables
- The law of the iterated logarithm for self-similar processes represented by multiple Wiener integrals
- On the carrying dimension of occupation measures for self-affine random fields
- Fractional processes and their statistical inference: an overview
- Pickands-Piterbarg constants for self-similar Gaussian processes
- Entropy measure of credit risk in highly correlated markets
- Random integral representation of operator-semi-self-similar processes with independent incre\-ments.
- Invariance principles for linear processes with application to isotonic regression
- Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes
- A limit theorem for local time and application to random sets
- Integrated functionals of normal and fractional processes
- Weighted sums of i.i.d. random variables attracted to integrals of stable processes
- A functional non-central limit theorem for multiple-stable processes with long-range dependence
- Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
- Lamperti transformation of scaled Brownian motion and related Langevin equations
- A unified approach to self-normalized block sampling
- Hedging error as generalized timing risk
- Some fractal properties of a class of self-similar Markov processes
- An information theory approach to stock market liquidity
- Absolute continuity of the images of measures
- Squared Bessel processes of positive and negative dimension embedded in Brownian local times
- Multiple points of dilation-stable Lévy processes
- Intermittency in the small-time behavior of Lévy processes
- Semi-stable Markov processes in \(R^n\)
- On the chirp decomposition of Weierstrass-Mandelbrot functions, and their time-frequency interpretation.
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- On self-affine functions
- Chung's law of the iterated logarithm for subfractional Brownian motion
- Multifractal vector fields and stochastic Clifford algebra
- On model Fitting and estimation of strictly stationary processes
- Conditional limit theorems for queues with Gaussian input, a weak convergence approach
- Local scaling limits of Lévy driven fractional random fields
- Convergence in law to operator fractional Brownian motions
- Ergodic aspects of some Ornstein-Uhlenbeck type processes related to Lévy processes
- Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
- Rough volatility via the Lamperti transform
- Spectral expansions of non-self-adjoint generalized Laguerre semigroups
- Self-similar random fields
- Limit behavior of additive functionals of semistable processes and processes attracted to semistable processes
- Self-similar scaling limits of non-increasing Markov chains
- Self-similar extremal processes
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Some properties of a special class of self-similar processes
- Regenerative processes in supercooled liquids and glasses
- Asymptotics of the frequency spectrum for general Dirichlet \(\Xi\)-coalescents
- On infinitely divisible self-similar random fields
- Asymptotic properties for linear processes of functionals of reversible or normal Markov chains
- Testing self-similarity through Lamperti transformations
- Some remarks on definitions of memory for stationary random processes and fields
- Estimation of multifractality based on natural time analysis
- The influence of fractional diffusion in Fisher-KPP equations
- Self-similar processes with independent increments associated with Lévy and Bessel processes.
- On the divergence and vorticity of vector ambit fields
- Zooming in on a Lévy process at its supremum
- A note on operator self-similar Gaussian vector fields
- Self-similar Cauchy problems and generalized Mittag-Leffler functions
- Gaussian fields satisfying simultaneous operator scaling relations
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