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Teoriya Veroyatnostei i ee Primeneniya, 1994, Volume 39, Issue 3, Pages 605–617 (Mi tvp3822)  

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
Full-text PDF (666 kB) Citations (1)
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
English version:
Theory of Probability and its Applications, 1994, Volume 39, Issue 3, Pages 465–475
DOI: https://doi.org/10.1137/1139032
Bibliographic databases:
Document Type: Article
Language: English
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
Citation in format AMSBIB
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\by A.~Soltani
\paper On spectral representation of multivariate stable processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1994
\vol 39
\issue 3
\pages 605--617
\mathnet{http://mi.mathnet.ru/tvp3822}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1347188}
\zmath{https://zbmath.org/?q=an:0834.60037|0827.60023}
\transl
\jour Theory Probab. Appl.
\yr 1994
\vol 39
\issue 3
\pages 465--475
\crossref{https://doi.org/10.1137/1139032}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1995TF06800007}
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  • https://www.mathnet.ru/eng/tvp/v39/i3/p605
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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