Stationary and self-similar processes driven by Lévy processes
AbstractUsing bivariate Lévy processes, stationary and self-similar processes, with prescribed one-dimensional marginal laws of type G, are constructed. The self-similar processes are obtained from the stationary by the Lamperti transformation. In the case of square integrability the arbitrary spectral distribution of the stationary process can be chosen so that the corresponding self-similar process has second-order stationary increments. The spectral distribution in question, which yields fractional Brownian motion when the driving Lévy process is the bivariate Brownian motion, is shown to possess a density, and an explicit expression for the density is derived.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 84 (1999)
Issue (Month): 2 (December)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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