(1/α)-Self similar α-stable processes with stationary increments
Files
Accepted manuscript
Date
1990-11-01
DOI
Authors
Samorodnitsky, Gennady
Taqqu, Murad S.
Version
Accepted mansucript
OA Version
Citation
Samorodnitsky, G.; Taqqu, M.. 1990. "(1/α)-Self similar α-stable processes with stationary increments" Journal of Multivariate Analysis, Volume 35, Issue 2, pp. 308 - 313 (6). https://doi.org/10.1016/0047-259X(90)90031-C
Abstract
In this note we settle a question posed by Kasahara, Maejima, and Vervaat. We show that the α-stable Lévy motion is the only α-stable process with stationary increments if 0 < α < 1. We also introduce new classes of α-stable processes with stationary increments for 1 < α < 2.
Description
Originally published as a technical report no. 892, February 1990 for Cornell University Operations Research and Industrial Engineering. Available online: http://hdl.handle.net/1813/8775