Stable convergence of generalized stochastic integrals and the principle of conditioning.
Integral representations of periodic and cyclic fractional stable motions.
Long memory in economics : discussion and comments
Bachelier et son époque : une conversation avec Bernard Bru
Erratum : “Pathwise approximations of process based on the fine structure of their filtrations”
Pathwise approximations of processes based on the fine structure of their filtrations
Semi-additive functionals and cocycles in the context of self-similarity
Kernel functions of stable, self-similar mixed moving averages are known to be related to nonsingular flows. We identify and examine here a new functional occuring in this relation and study its properties. To prove its existence, we develop a general result about semi-additive functionals related to cocycles. The functional we identify, is helpful when solving for the kernel function generated by a flow. Its presence also sheds light on the previous results on the subject.
Identification of periodic and cyclic fractional stable motions
We consider an important subclass of self-similar, non-gaussian stable processes with stationary increments known as self-similar stable mixed moving averages. As previously shown by the authors, following the seminal approach of Jan Rosiński, these processes can be related to nonsingular flows through their minimal representations. Different types of flows give rise to different classes of self-similar mixed moving averages, and to corresponding general decompositions of these processes. Self-similar...
Multifractional processes with random exponent.
Multifractional Processes with Random Exponent (MPRE) are obtained by replacing the Hurst parameter of Fractional Brownian Motion (FBM) with a stochastic process. This process need not be independent of the white noise generating the FBM. MPREs can be conveniently represented as random wavelet series. We will use this type of representation to study their Hölder regularity and their self-similarity.
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