INDICATOR FRACTIONAL STABLE MOTIONS

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Using the framework of random walks in random scenery, Cohen and Samorodnitsky ( 2006) introduced a family of symmetric alpha-stable motions called local time fractional stable motions. When alpha = 2, these processes are precisely fractional Brownian motions with 1/2 < H < 1. Motivated by random walks in alternating scenery, we find a complementary family of symmetric alpha-stable motions which we call indicator fractional stable motions. These processes are complementary to local time fractional stable motions in that when alpha = 2, one gets fractional Brownian motions with 0 < H < 1/2.
Publisher
UNIV WASHINGTON, DEPT MATHEMATICS
Issue Date
2011-03
Language
English
Article Type
Article
Citation

ELECTRONIC COMMUNICATIONS IN PROBABILITY, v.16, pp.165 - 173

ISSN
1083-589X
DOI
10.1214/ECP.v16-1611
URI
http://hdl.handle.net/10203/212942
Appears in Collection
MA-Journal Papers(저널논문)
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