The Lamperti transformation for self-similar processes : Dedicated to the memory of Stamatis Cambanis)
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概要
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"In this paper we establish the uniqueness of the Lamperti transformation leading from self-similar to stationary processes, and conversely. We discuss ＄￥alpha＄-stable processes, which allow to understand better the difference between the Gaussian and non-Gaussian cases. As a by-product we get a natural construction of two distinct ＄￥alpha-＄ stable Ornstein-Uhlenbeck processes via the Lamperti transformation for ＄0<￥alpha<2＄ . Also a new class of mixed linear fractional ＄￥alpha＄-stable motions is introduced."
- Yokohama City University and Yokohama National Universityの論文
- 1997-00-00
Yokohama City University and Yokohama National University | 論文
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