Search Results - subject:"lamperti transformation"

Burnecki, Krzysztof - Hugo Steinhaus Center for Stochastic Methods, … - 1998

This Ph.D. thesis is concerned with self-similar processes. In Chapter 2 we describe the classes of transformations leading from self-similar to stationary processes, and conversely. The relationship is used in Chapter 3 to characterize stable symmetric self-similar processes via their minimal...

Persistent link: https://www.econbiz.de/10009003624

Spectral representation and structure of self-similar processes

Burnecki, Krzysztof; Rosinski, Jan; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 1997

multiplicative flows and cocycles. Applying the Lamperti transformation we obtain a unique decomposition of a symmetric stable self …

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

The Lamperti transformation for self-similar processes

Burnecki, Krzysztof; Maejima, Makoto; Weron, Aleksander - Hugo Steinhaus Center for Stochastic Methods, … - 1997

In this paper we establish the uniqueness of the Lamperti transformation leading from self-similar to stationary …–Uhlenbeck processes via the Lamperti transformation for 0 < alpha < 2. Also a new class of mixed linear fractional alpha-stable motions is …

Persistent link: https://www.econbiz.de/10009003622