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.
|Date of creation:||1997|
|Publication status:||Published in I.Karatzas, B.Rajput and M.Taqqu (eds.), Stochastic Processes and Related Topics, Birhauser, Boston (1998) 1-14.|
|Contact details of provider:|| Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw|
Web page: http://prac.im.pwr.wroc.pl/~hugo
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