Self-similar processes with stationary increments generated by point processes
type: Item
instance of: scholarly article
title: Self-similar processes with stationary increments generated by point processes
zbMATH Open document ID: 0567.60052
author: George L. O'Brien
author: Wim Vervaat
published in: The Annals of Probability
publication date: 1985-01-01T00:00:00Z
review text: A point process \(\Pi\) on \({\mathbb{R}}\times ({\mathbb{R}}\setminus \{0\})\) is defined to be a Poincaré point process if \(\Pi\) is locally finite and if \(\Pi\) \(=^{d}\Pi f^{-1}_{a,b}\) for each a and b, where \(f_{a,b}(t, x)=(at+b, ax)\). The authors study processes \(X_ H\), \(H>0\), admitting representations \(X_ H(t)=\int | x|^ H(sgn x)\Pi ((0,t],dx)\), where \(\Pi\) is Poincaré. Such processes are H-self- similar with stationary increments. Properties studied include the set \({\mathcal H}_ a\) of H-values for which the integral defining \(X_ H(t)\) converges absolutely for all t: it is shown that almost surely, \({\mathcal H}_ a\subset (1,\infty)\), with equality a.s. if and only if the intensity measure E[\(\Pi\) ] is finite. Related issues of conditional convergence are also examined. Several examples are presented; these include the case that \(\Pi\) is a Poisson process - and \(X_ H\) is strictly stable - and a new class of ''g-adic lattice processes'' that are, in a certain sense, minimally random among Poincaré processes.
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 60K99
zbMATH DE Number: 3905571
zbMATH Keywords: Poincaré point process
zbMATH Keywords: H-self-similar with stationary increments
zbMATH Keywords: conditional convergence
reviewed by: Alan F. Karr
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1176993064
OpenAlex ID: W2084523868
DOI: 10.1214/AOP/1176993064
description: scientific article; zbMATH DE number 3905571