ON STABLE MARKOV-PROCESSES

被引：9
作者：
ADLER, RJ
CAMBANIS, S
SAMORODNITSKY, G
机构：
[1] UNIV N CAROLINA,CTR STOCHAST PROC,DEPT STAT,CHAPEL HILL,NC 27599
[2] CORNELL UNIV,DEPT OPERAT RES & IND ENGN,ITHACA,NY 14853
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1990年 / 34卷 / 01期
关键词：
left and right stable Ornstein-Unlenbeck processes; Markoc and weakly Markov stable processes; moving averages; stable conditional distributions; sub-Gaussian and harmonizable processes; time changed Lévy motion;
D O I：
10.1016/0304-4149(90)90052-T
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Necessary conditions are given for a symmetric α-stable (SαS) process, 1 < α < 2, to be Markov. These conditions are then applied to find Markov or weakly Markov processes within certain important classes of SαS processes: time changed Lévy motion, scale mixed Gaussian processes, moving averages and harmonizable processes. Two stationary SαS Markov processes are introduced, the right and the left SαS Ornstein-Uhlenbeck processes. Some of the results are in sharp contrast to the Gaussian case α = 2. © 1990.
引用
收藏
页码：1 / 17
页数：17
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