Abstract : We present a general method for constructing stochastic processes with prescribed local form. Such processes include variable amplitude multifractional Brownian motion, multifractional -stable processes, and multistable processes, that is processes that are locally \alpha(t)-stable but where the stability index \alpha(t) varies with t. In particular we construct multifractional multistable processes, where both the local self-similarity and stability indices vary.
https://hal.inria.fr/inria-00539033
Contributeur : Lisandro Fermin
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Soumis le : mardi 23 novembre 2010 - 17:16:24
Dernière modification le : mardi 17 avril 2018 - 11:27:44
Document(s) archivé(s) le : jeudi 24 février 2011 - 03:21:36
Kenneth Falconer, Jacques Lévy Véhel. Multifractional, multistable, and other processes with prescribed local form. Journal of Theoretical Probability, Sprnger, 2009, 22 (2), pp.375-401. 〈10.1007/s10959-008-0147-9〉. 〈inria-00539033〉
