Self-similarity and Lamperti convergence for families of stochastic processes

DOI10.1007/s10986-011-9131-7zbMath1311.60041arXiv1009.0101OpenAlexW2006593582MaRDI QIDQ392772

Bent Jørgensen, José Raúl Martínez, Clarice Garcia Borges Demétrio

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.0101

zbMATH Keywords

self-similarityexponential tiltingfamilies of stochastic processesfractional Hougaard motionHougaard-Lévy processLamperti convergencepower variance function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Related Items (3)

New properties and representations for members of the power-variance family. II ⋮ Tempered fractional Brownian and stable motions of second kind ⋮ Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes

Uses Software

• longmemo

Cites Work

• Spectral representations of infinitely divisible processes
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• Exponential Dispersion Models and Extensions: A Review
• Analysis of Overdispersed Count Data by Mixtures of Poisson Variables and Poisson Processes
• Semi-Stable Stochastic Processes
• Stochastic processes directed by randomized time
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