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Local asymptotical self-similarity for heavy tailed harmonizable fractional Lévy motion

Publikation: Working paperForskning

In this work we characterize the local asymptotic self-similarity of harmonizable fractional Lévy motions in the heavy tailed case. The corresponding tangent process is shown to be the harmonizable fractional stable motion. In addition, we provide sufficient conditions for existence of harmonizable fractional Lévy motions.
OriginalsprogEngelsk
StatusUdgivet - 2018

    Forskningsområder

  • math.PR, 60F05, 60G52, 60G18, 60G22

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