The Lamperti transformation for self-similar processes

Krzysztof Burnecki, Makoto Maejima and Aleksander Weron

No HSC/97/02, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: 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

Keywords: Lamperti transformation; Self-similar process; Stationary process; Stable distribution (search for similar items in EconPapers)
JEL-codes: C16 (search for similar items in EconPapers)
Pages: 16 pages
Date: 1997
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Yokohama Mathematical Journal 44 (1997) 25-42.

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_97_02.pdf Final version, 1997 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc9702

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