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Log-fractional stable processes

Author

Listed:
  • Kasahara, Yuji
  • Maejima, Makoto
  • Vervaat, Wim

Abstract

The first problem attacked in this paper is answering the question whether all 1/[alpha]-self-similar [alpha]-stable processes with stationary increments are [alpha]-stable motions. The answer is yes for [alpha] = 2, no for 1[less-than-or-equals, slant][alpha]

Suggested Citation

  • Kasahara, Yuji & Maejima, Makoto & Vervaat, Wim, 1988. "Log-fractional stable processes," Stochastic Processes and their Applications, Elsevier, vol. 30(2), pages 329-339, December.
    • Handle: RePEc:eee:spapps:v:30:y:1988:i:2:p:329-339
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    Citations

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    Cited by:

    1. Levy, Joshua B. & Taqqu, Murad S., 2014. "The asymptotic codifference and covariation of log-fractional stable noise," Journal of Econometrics, Elsevier, vol. 181(1), pages 34-43.
    2. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    3. Ole E. Barndorff-Nielsen & Makoto Maejima & Ken-iti Sato, 2006. "Infinite Divisibility for Stochastic Processes and Time Change," Journal of Theoretical Probability, Springer, vol. 19(2), pages 411-446, June.

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