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|
|Date of revision:|
|Publication status:||Published in I.Karatzas, B.Rajput and M.Taqqu (eds.), Stochastic Processes and Related Topics, Birhauser, Boston (1998) 1-14.|
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