Dilatively stable stochastic processes and aggregate similarity

Matyas Barczy; Peter Kern; Gyula Pap

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arXiv · 1408.3919

Dilatively stable stochastic processes and aggregate similarity

Matyas Barczy·Peter Kern·Gyula Pap

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Abstract

Dilatively stable processes generalize the class of infinitely divisible self-similar processes. We reformulate and extend the definition of dilative stability introduced by Igl\'oi (2008) using characteristic functions. We also generalize the concept of aggregate similarity introduced by Kaj (2005). It turns out that these two notions are essentially the same for infinitely divisible processes. Examples of dilatively stable generalized fractional L\'evy processes are given and we point out that certain limit processes in aggregation models are dilatively stable.

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Matyas Barczy, Peter Kern, Gyula Pap. 2014-08-18. Dilatively stable stochastic processes and aggregate similarity. https://arxiv.org/abs/1408.3919

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