Semi-Selfsimilar Processes

被引：0
|
作者：
Maejima M. [1 ]
Sato K.-I. [2 ]
机构：
[1] Department of Mathematics, Faculty of Science and Technology, Keio University, Yokohama 223, 3-14-1 Hiyoshi, Kohoku-ku
[2] Nagoya 468, Hachimanyama 1101-5-103, Tenpaku-ku
来源：
Journal of Theoretical Probability | 1999年 / 12卷 / 2期
关键词：
Lévy process; Selfsimilar process; Semi-selfsimilar process; Semi-stable process;
D O I：
10.1023/A:1021621926463
中图分类号：
学科分类号：
摘要：
A notion of semi-selfsimilarity of Rd-valued stochastic processes is introduced as a natural extension of the selfsimilarity. Several topics on semi-selfsimilar processes are studied: the existence of the exponent for semi-selfsimilar processes; characterization of semi-selfsimilar processes as scaling limits; relationship between semi-selfsimilar processes with independent increments and semi-selfdecomposable distributions, and examples; construction of semi-selfsimilar processes with stationary increments; and extension of the Lamperti transformation. Semi-stable processes where all joint distributions are multivariate semi-stable are also discussed in connection with semi-selfsimilar processes. A wide-sense semi-selfsimilarity is defined and shown to be reducible to semi-selfsimilarity.
引用
收藏
页码：347 / 373
页数：26
相关论文
共 50 条
12345