Series Representation of Time-Stable Stochastic Processes

2015/04/12 by Christoph Kopp, Ilya Molchanov, Kopp, Christoph +1
Economics, Econometrics and Finance · Mathematics · #60G51 60G52 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Methods and Inference #Stochastic processes and financial applications #math.PR #msc:60G51 #msc:60G52

paper · pdf · doi:10.48550/arxiv.1504.02969

17 pages

arxiv created 2015/04/12 · openalex publication_date 2015/04/12 · arxiv updated 2015/04/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

A stochastically continuous process ξ(t), t≥0, is said to be time-stable if the sum of n i.i.d. copies of ξ equals in distribution to the time-scaled stochastic process ξ(nt), t≥0. The paper advances the understanding of time-stable processes by means of their LePage series representations.

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