Spectral representation and structure of stable self-similar processes

MaRDI QIDQ4218898zbMATH OpenFDO

Authors Krzysztof Burnecki, Jan Rosiński, Aleksander Weron

Publication date 21 June 1999

zbMATH Keywords

spectral representationstable self-similar processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) General second-order stochastic processes (60G12) Self-similar stochastic processes (60G18)

Review text

The authors establish a spectral representation of any symmetric stable self-similar process in terms of multiplicative flows and cocycles. They also study the structure of this class of self-similar processes. Using Lamperti transformation, they obtain a unique decomposition of a symmetric stable self-similar process into three independent parts: mixed fractional motion, harmonizable and evanescent. This decomposition has been illustrated by graphical presentation of corresponding kernels of their spectral representations. For the entire collection see [Zbl 0895.00024].

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