AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
From MaRDI portal
Publication:3088935
DOI10.1142/S0217979200001047zbMath1219.60040OpenAlexW2045098926MaRDI QIDQ3088935
Paul Embrechts, Makoto Maejima
Publication date: 20 August 2011
Published in: International Journal of Modern Physics B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0217979200001047
Related Items (11)
Location of the path supremum for self-similar processes with stationary increments ⋮ A Conversation With Paul Embrechts ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ A weak convergence to Hermite process by martingale differences ⋮ The skewed multifractal random walk with applications to option smiles ⋮ Convergence of superpositions of scaled renewal processes with a finite number of different distributions ⋮ Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes ⋮ The value of power-related options under spectrally negative Lévy processes ⋮ Scaling limits of solutions of linear stochastic differential equations driven by Lévy white noises ⋮ PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION ⋮ On Lévy-Fréchet processes and related self-similar and semi-self-similar ones
Cites Work
- Log-fractional stable processes
- The Brownian escape process
- Sample path properties of self-similar processes with stationary increments
- Central limit theorems for non-linear functionals of Gaussian fields
- Brownian motion on the Sierpinski gasket
- Class L of multivariate distributions and its subclasses
- Multiple points of trajectories of multiparameter fractional Brownian motion
- Semi-selfsimilar processes
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- Operator-self-similar stable processes
- Hausdorff-type measures of the sample paths of fractional Brownian motion
- Hausdorff measure of trajectories of multiparameter fractional Brownian motion
- Self-similar processes with independent increments
- \((1/\alpha)\)-self similar \(\alpha\)-stable processes with stationary increments
- Multiple Wiener integral
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- CLT and other limit theorems for functionals of Gaussian processes
- A remark on self-similar processes with stationary increments
- On a class of self-similar processes
- Infinite variance self-similar processes subordinate to a poisson measure
- Marginal distributions of self-similar processes with stationary increments
- Weak convergence to fractional brownian motion and to the rosenblatt process
- A limit theorem related to a new class of self similar processes
- Convergence of integrated processes of arbitrary Hermite rank
- Non-central limit theorems for non-linear functional of Gaussian fields
- Hausdorff measure of the graph of fractional Brownian motion
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES
