The Lamperti transformation for self-similar processes
In this paper we establish the uniqueness of the Lamperti transformation leading from self-similar to stationary processes, and conversely. We discuss alpha-stable processes, which allow to understand better the difference between the Gaussian and non-Gaussian cases. As a by-product we get a natural construction of two distinct alpha-stable Ornstein–Uhlenbeck processes via the Lamperti transformation for 0
|Date of creation:||1997|
|Date of revision:|
|Publication status:||Published in Yokohama Mathematical Journal 44 (1997) 25-42.|
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Web page: http://prac.im.pwr.wroc.pl/~hugo
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