Series Representation of Time-Stable Stochastic Processes

Christoph Kopp; Ilya Molchanov

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arXiv · 1504.02969

Series Representation of Time-Stable Stochastic Processes

Christoph Kopp·Ilya Molchanov

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Abstract

A stochastically continuous process $\xi(t)$, $t\geq0$, is said to be time-stable if the sum of $n$ i.i.d. copies of $\xi$ equals in distribution to the time-scaled stochastic process $\xi(nt)$, $t\geq0$. The paper advances the understanding of time-stable processes by means of their LePage series representations.

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Christoph Kopp, Ilya Molchanov. 2015-04-12. Series Representation of Time-Stable Stochastic Processes. https://arxiv.org/abs/1504.02969

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