Multistable processes and localisability

Kenneth Falconer; Lining Liu

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arXiv · 1007.4932

Multistable processes and localisability

Kenneth Falconer·Lining Liu

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Abstract

We use characteristic functions to construct alpha(x)-multistable measures and integrals, where the measures behave locally like alpha-stable measures, but with the stability index alpha(x) varying with time x. This enables us to construct alpha(x)-multistable processes on R, that is processes whose scaling limit at time x is an alpha(x)-stable process. We present several examples of such multistable processes and examine their localisability.

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Kenneth Falconer, Lining Liu. 2010-07-28. Multistable processes and localisability. https://arxiv.org/abs/1007.4932

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