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...

Multistable processes, that is, processes which are, at each “time”, tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is non constant. In this work, we give further results on (multifractional) multistable processes related to their local structure. We show that, under certain conditions, the incremental moments display a scaling behaviour, and that the pointwise Hölder exponent...

We first characterize the increasing eigenfunctions associated to the following family of integro-differential operators, for any α, x>0, γ≥0 and fa smooth function on ${\Re }^{+}$, $$\begin{array}{c}\hfill {𝐋}^{\left(\gamma \right)}f\left(x\right)=x^{-\alpha }(\frac{\sigma }{2}{x}^2{f}^{\text{'}\text{'}}\left(x\right)+(\sigma \gamma +b)x{f}^{\text{'}}\left(x\right)\\ \hfill +{\int }_0^{\infty }\left(f\left({\mathrm{e}}^{-r}x\right)-f\left(x\right)\right){\mathrm{e}}^{-r\gamma }+x{f}^{\text{'}}\left(x\right)r{𝕀}_{\{r\le 1\}}\nu \left(\mathrm{d}r\right)),(0.1)\end{array}$$ where the coefficients $b\in \Re$,σ≥0 and the measure ν, which satisfies the integrability condition ∫0∞(1∧r2)ν(dr)<+∞, are uniquely determined by the distribution of a spectrally negative, infinitely divisible random variable, with characteristic exponent ψ. L(γ) is known to be the infinitesimal generator of a positive...

Let {Snbe a random walk in the domain of attraction of a stable law $𝒴$, i.e. there exists a sequence of positive real numbers ( an) such that Sn/anconverges in law to $𝒴$. Our main result is that the rescaled process (S⌊nt⌋/an, t≥0), when conditioned to stay positive, converges in law (in the functional sense) towards the corresponding stable Lévy process conditioned to stay positive. Under some additional assumptions, we also prove a related invariance principle for the random walk killed at its first...