Correlation cascades of Lévy-driven random processes

Iddo Eliazar and Joseph Klafter

Physica A: Statistical Mechanics and its Applications, 2007, vol. 376, issue C, 1-26

Abstract: We explore the correlation-structure of a large class of random processes, driven by non-Gaussian Lévy noise sources with possibly infinite variances. Examples of such processes include Lévy motions, Lévy-driven Ornstein–Uhlenbeck motions, Lévy-driven moving-average processes, fractional Lévy motions, and fractional Lévy noises.

Keywords: Non-Gaussian Lévy noises; Stable Lévy noises; Self-similarity; Fractality; Lévy Correlation Cascades; Long-range dependence (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:376:y:2007:i:c:p:1-26

DOI: 10.1016/j.physa.2006.10.029

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