Stationary and self-similar processes driven by Lévy processes
نویسندگان
چکیده
منابع مشابه
Lévy Stable Processes . from Stationary to Self - Similar Dynamics and Back . an Application to Finance ∗
We employ an ergodic theory argument to demonstrate the foundations of ubiquity of Lévy stable self-similar processes in physics and present a class of models for anomalous and nonextensive diffusion. A relationship between stationary and self-similar models is clarified. The presented stochastic integral description of all Lévy stable processes could provide new insights into the mechanism und...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1999
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(99)00061-7