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Log-fractional stable processes
Authors:Yuji Kasahara
Affiliation:

Institute of Mathematics, University of Tsukuba, Tsukuba, Ibaraki 305, Japan

Department of Mathematics, Keio University, Hiyoshi, Yokohama 223, Japan

Mathematisch Instituut, Katholieke Universiteit, Toernooiveld 5, 6525 ED Nijmegen, The Netherlands

Abstract:The first problem attacked in this paper is answering the question whether all 1/-self-similar -stable processes with stationary increments are -stable motions. The answer is yes for = 2, no for 1<2 and unknown for 0<<1. We single out the log-fractional stable processes for 1<2, different from -stable motions for ≠2. They can be regarded as the limit of fractional stable processes as the exponent in the kernel tends to 0. The paper ends with a limit theorem for partial sum processes of moving averages of iid random variables in the domain of attraction of a strictly stable law, with log-fractional stable processes as limits in law. The conditions involve de Haan's class Π of slowly varying functions.
Keywords:stable process   stable motion   self-similar process with stationary increments   fractional stable process   log-fractional stable process   domain of attraction   moving average   de Haan's class Π
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