Spectral representation and structure of self-similar processes

Krzysztof Burnecki, Jan Rosinski and Aleksander Weron

No HSC/97/03, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

Abstract: 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.

Keywords: Self-similar process; Stable distribution; Lamperti transformation (search for similar items in EconPapers)
JEL-codes: C16 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1997
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Citations: View citations in EconPapers (2)

Published in I.Karatzas, B.Rajput and M.Taqqu (eds.), Stochastic Processes and Related Topics, Birhauser, Boston (1998) 1-14.

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Persistent link: https://EconPapers.repec.org/RePEc:wuu:wpaper:hsc9703

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