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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 3, Pages 605–617
(Mi tvp3822)
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This article is cited in 1 scientific paper (total in 1 paper)
On spectral representation of multivariate stable processes
A. Soltani Shiraz University, Shiraz, Iran
Abstract:
Let $X(t)$, $t\in\mathbf{R}$, be a symmetric $\alpha$-stable process with independent increments, taking values in $\mathbf{R}^n$. Let $\mathcal{A}=\overline{\operatorname{sp}}\{X(t)-X(s),\,t,s\in\mathbf{R}\}$. Each $Y\in\mathcal{A}$ is a stable vector, and
$$
\mathbf{E}\exp(i\gamma\cdot Y)=\exp\left(-\int_S |\langle\gamma,s\rangle|^\alpha\,d\Gamma_Y(s)\right),
$$
where $S$ is a unit sphere in $\mathbf{R}^n$. In this work we prove that there is a unique bimeasure $\pi(\cdot,\cdot)$ on $\mathcal{B}(\mathbf{R})\times\mathcal{B}(S)$ such that for each $Y\in\mathcal{A}$ there is a function $g\in L^\alpha(\pi(\cdot,\mathbf{R}^n))$ such that
$$
\Gamma_Y(\cdot)=\int|g(t)|^\alpha\pi(dt,\cdot).
$$
Some applications of this representation are also discussed.
Keywords:
multivariate stable process, independent increments, spectral representation, bimeasure, spectral measure, symmetric measure.
Received: 08.02.1991
Citation:
A. Soltani, “On spectral representation of multivariate stable processes”, Teor. Veroyatnost. i Primenen., 39:3 (1994), 605–617; Theory Probab. Appl., 39:3 (1994), 465–475
Linking options:
https://www.mathnet.ru/eng/tvp3822 https://www.mathnet.ru/eng/tvp/v39/i3/p605
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