Kopp, Christoph; Molchanov, Ilya
(2018).
*
Series representation of time-stable stochastic processes.
*
Probability and mathematical statistics, 38(2), pp. 299-315.
Kazimierz Urbanik Center for Probability and Mathematical Statistics
10.19195/0208-4147.38.2.4

Text
38.2.4.pdf - Published Version Restricted to registered users only Available under License Publisher holds Copyright. Download (122kB) |

A stochastically continuous process ɛ(t), t ≥ 0, is said to be time-stable if the sum of n i.i.d. copies of ɛ equals in distribution the time-scaled stochastic process ɛ(nt), t ≥ 0. The paper advances the understanding of time-stable processes by means of their LePage series representations as the sum of i.i.d. processes with the arguments scaled by the sequence of successive points of the unit intensity Poisson process on [0, ∞). These series yield numerous examples of stochastic processes that share one-dimensional distributions with a Lévy process.

## Item Type: |
Journal Article (Original Article) |
---|---|

## Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |

## UniBE Contributor: |
Molchanov, Ilya |

## Subjects: |
500 Science > 510 Mathematics |

## ISSN: |
0208-4147 |

## Publisher: |
Kazimierz Urbanik Center for Probability and Mathematical Statistics |

## Language: |
English |

## Submitter: |
Ilya Molchanov |

## Date Deposited: |
13 Jun 2019 11:13 |

## Last Modified: |
05 Dec 2022 15:27 |

## Publisher DOI: |
10.19195/0208-4147.38.2.4 |

## BORIS DOI: |
10.7892/boris.127999 |

## URI: |
https://boris.unibe.ch/id/eprint/127999 |