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hal-00363616, version 1

How rich is the class of processes which are infinitely divisible with respect to time?

Khalifa Es-Sebaiy (Author to contact preferably) 1, Youssef Ouknine () 2

Statistics and Probability Letters 78 (2007) 537-547

Abstract: We give a link between stochastic processes which are infinitely divisible with respect to time (IDT) and Le´vy processes. We investigate the connection between the selfsimilarity and the strict stability for IDT processes. We also consider a subordination of a Lévy process by an increasing IDT process. We introduce a notion of multiparameter IDT stochastic processes, extending the one studied by Mansuy [2005. On processes which are infinitely divisible with respect to time. arXiv:math/0504408.]. The main example of this kind of processes is the Lévy sheet.

  • 1:  Université Cadi Ayyad, Marrakech
  • Université Cadi Ayyad, Marrakech
  • 2:  Cadi Ayyad University
  • Cadi Ayyad University
  • Domain : Mathematics/Probability
  • Keywords : Semi-selfsimilar process – Semi-stable process – IDT process
 
  • hal-00363616, version 1
  • http://hal.archives-ouvertes.fr/hal-00363616
  • oai:hal.archives-ouvertes.fr:hal-00363616
  • From: Khalifa Es-Sebaiy <>
  • Submitted on: Tuesday, 12 May 2009 15:45:54
  • Updated on: Tuesday, 12 May 2009 15:57:13