Stationary and self-similar processes driven by Levy processes

Using bivariate Levy processes, stationary and self-similar processes, with prescribed one-dimensional marginal laws of type G, are constructed. The self-similar processes are obtained from the stationary by the Lamperti transformation. In the case of square integrability the arbitrary spectral distribution of the stationary process can be chosen so that the corresponding self-similar process has second-order stationary increments. The spectral distribution in question, which yields fractional Brownian motion when the driving Levy process is the bivariate Brownian motion, is shown to possess a density, and an explicit expression for the density is derived. (C) 1999 Elsevier Science B.V. All rights reserved.