کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1157133 | 958940 | 2006 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A Poisson bridge between fractional Brownian motion and stable Lévy motion
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
We study a non-Gaussian and non-stable process arising as the limit of sums of rescaled renewal processes under the condition of intermediate growth. The process has been characterized earlier by the cumulant generating function of its finite-dimensional distributions. Here, we derive a more tractable representation for it as a stochastic integral of a deterministic function with respect to a compensated Poisson random measure. Employing the representation we show that the process is locally and globally asymptotically self-similar with fractional Brownian motion and stable Lévy motion as its tangent limits.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 3, March 2006, Pages 447–462
Journal: Stochastic Processes and their Applications - Volume 116, Issue 3, March 2006, Pages 447–462
نویسندگان
Raimundas Gaigalas,