论文信息 - Marginal distributions of self-similar processes with stationary increments

Marginal distributions of self-similar processes with stationary increments

SummaryLet X = (Xt)t≧o be a real-valued stochastic process which is self-similar with exponent H>0 and has stationary increments. Several results about the marginal distribution of X1 are given. For H≠1, there is a universal bound, depending only on H, on the concentration function of logX1+. For all H>0, X1 cannot have any atoms except in certain trivial cases. Some lower bounds are given for the tails of the distribution of X1 in case H>1. Finally, some results are given concerning the connectedness of the support of X1.

George L. O'Brien | G. O'Brien | W. Vervaat | Wim Vervaat

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