Sample Path Properties of Self-Similar Processes with Stationary Increments
| dc.contributor.author | Vervaat, Wim | |
| dc.date.accessioned | 2009-07-02T18:32:15Z | |
| dc.date.available | 2009-07-02T18:32:15Z | |
| dc.date.issued | 2009-07-02T18:32:15Z | |
| dc.description | Vervaat was visitor from Katholieke Universiteit, Nijmegen. | en_US |
| dc.description.abstract | A real-valued process X=(X(t))telR is self-similar with exponent H (H-ss), if X(a.)d aHX for all a>0. Sample path properties of H-ss processes with stationary increments are investigated. The main result is that the sample paths have nowhere bounded variation if 0<H<1, unless X(t) tX(1) and H=1, and apart from this can have locally bounded variation only for H>1, in which case they are singular. Surprisingly, nowhere bounded variation may occur also for H>1. The first example in the literature exhibiting this combination properties is constructed, as well as many others. All examples are obtained by subordination of random measures to point processes in in R2 that are Poincare, i.e., invariant in distribution for the transformations (t,x)->(at+b,ax) of R2. In a final section two ways of combining two ss processes with stationary increments into new ones are studied, one of them being composition of random functions X1oX2=(X1(X1X2(t)))teR. | en_US |
| dc.description.sponsorship | School of ORIE, Center of Applied Mathematics at Cornell University, NATO Science Fellowship from the Netherlands Organization for the Advancement of Pure Research (ZWO) and Fulbright-Hays travel grant. | en_US |
| dc.identifier.uri | https://hdl.handle.net/1813/13089 | |
| dc.relation.ispartofseries | 545 | en_US |
| dc.subject | self-similar processes | en_US |
| dc.subject | stationary increments | en_US |
| dc.subject | bounded variatiion of sample paths | en_US |
| dc.subject | subordination to point processes | en_US |
| dc.subject | Poincare point processes | en_US |
| dc.subject | random measures | en_US |
| dc.subject | stable processes | en_US |
| dc.subject | fractional processes | en_US |
| dc.title | Sample Path Properties of Self-Similar Processes with Stationary Increments | en_US |
| dc.type | technical report | en_US |
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