Spectral representation and structure of self-similar processes

In this paper we establish a spectral representation of any symmetric stable self-similar process in terms of multiplicative flows and cocycles. Applying the Lamperti transformation we obtain a unique decomposition of a symmetric stable self-similar process into three independent parts: mixed fractional motion, harmonizable and evanescent.

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Year of publication:	1997
Authors:	Burnecki, Krzysztof ; Rosinski, Jan ; Weron, Aleksander
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Self-similar process \| Stable distribution \| Lamperti transformation

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Extent:	application/pdf
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in I.Karatzas, B.Rajput and M.Taqqu (eds.), Stochastic Processes and Related Topics, Birhauser, Boston (1998) 1-14. Number HSC/97/03 17 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009003605