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Dilated Fractional Stable Motions

Author

Listed:
  • Vladas Pipiras

    (University of North Carolina at Chapel Hill)

  • Murad S. Taqqu

    (Boston University)

Abstract

Dilated fractional stable motions are stable, self-similar, stationary increments random processes which are associated with dissipative flows. Self-similarity implies that their finite-dimensional distributions are invariant under scaling. In the Gaussian case, when the stability exponent equals 2, dilated fractional stable motions reduce to fractional Brownian motion. We suppose here that the stability exponent is less than 2. This implies that the dilated fractional stable motions have infinite variance and hence they cannot be characterised by a covariance function. These dilated fractional stable motions are defined through an integral representation involving a nonrandom kernel. This kernel plays a fundamental role. In this work, we study the space of kernels for which the dilated processes are well-defined, indicate connections to Sobolev spaces, discuss uniqueness questions and relate dilated fractional stable motions to other self-similar processes. We show that a number of processes that have been obtained in the literature, are in fact dilated fractional stable motions, for example, the telecom process obtained as limit of renewal reward processes, the Takenaka processes and the so-called “random wavelet expansion” processes.

Suggested Citation

  • Vladas Pipiras & Murad S. Taqqu, 2004. "Dilated Fractional Stable Motions," Journal of Theoretical Probability, Springer, vol. 17(1), pages 51-84, January.
    • Handle: RePEc:spr:jotpro:v:17:y:2004:i:1:d:10.1023_b:jotp.0000020475.95139.37
    DOI: 10.1023/B:JOTP.0000020475.95139.37
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    References listed on IDEAS

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    1. Hardin, Clyde D., 1982. "On the spectral representation of symmetric stable processes," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 385-401, September.
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