Multistable processes and localisability
Probability
2010-07-29 v1
Abstract
We use characteristic functions to construct alpha(x)-multistable measures and integrals, where the measures behave locally like alpha-stable measures, but with the stability index alpha(x) varying with time x. This enables us to construct alpha(x)-multistable processes on R, that is processes whose scaling limit at time x is an alpha(x)-stable process. We present several examples of such multistable processes and examine their localisability.
Cite
@article{arxiv.1007.4932,
title = {Multistable processes and localisability},
author = {Kenneth Falconer and Lining Liu},
journal= {arXiv preprint arXiv:1007.4932},
year = {2010}
}