Mimicking self-similar processes

DOI10.3150/13-BEJ588zbMath1372.60053arXiv1506.01478WikidataQ57712720 ScholiaQ57712720MaRDI QIDQ2515501

Fima C. Klebaner, Kais Hamza, Jie Yen Fan

Publication date: 5 August 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.01478

zbMATH Keywords

Lévy processesself-similar processesMarkov martingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Martingales with continuous parameter (60G44) Self-similar stochastic processes (60G18)

Related Items (6)

Multifractal processes: definition, properties and new examples ⋮ Faking Brownian motion with continuous Markov martingales ⋮ On the Markov property of some Brownian martingales ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint ⋮ From Bachelier to Dupire via optimal transport ⋮ Path properties of a generalized fractional Brownian motion

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