Some self-similar processes related to local times

We construct some self-similar processes with continuous paths by using the local time on hyperplanes of a d-dimensional symmetric [alpha]-stable Lévy process, d [greater-or-equal, slanted] 2 and 1 < [alpha] [less-than-or-equals, slant] 2, and its stochastic integral with respect to Gaussian white noise. Our construction gives a certain higher-dimensional extension of the previous work of Kesten and Spitzer (1979).

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Year of publication:	1995
Authors:	Shieh, Narn-Rueih
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 24.1995, 3, p. 213-218
Publisher:	Elsevier
Keywords:	Self-similar processes Local times Lévy processes Gaussian white noise

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211945