Self-similarity and Lamperti convergence for families of stochastic processes |
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Authors: | Email author" target="_blank">Bent?J?rgensenEmail author José?R?Martínez Clarice?GB?Demétrio |
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Institution: | 1.Department of Mathematics and Computer Science,University of Southern Denmark,Odense M,Denmark;2.FAMAF, Universidad Nacional de Córdoba,Ciudad Universitaria,Córdoba,Argentina;3.Department of Exact Sciences,ESALQ, University of S?o Paulo,Piracicaba, SP,Brazil |
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Abstract: | We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to certain important
families of processes that are not self-similar in the conventional sense. This includes Hougaard Lévy processes such as the
Poisson processes, Brownian motions with drift and the inverse Gaussian processes, and some new fractional Hougaard motions
defined as moving averages of Hougaard Lévy process. Such families have many properties in common with ordinary self-similar
processes, including the form of their covariance functions, and the fact that they appear as limits in a Lamperti-type limit
theorem for families of stochastic processes. |
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Keywords: | |
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