| Issue |
ESAIM: PS
Volume 25, 2021
|
|
|---|---|---|
| Page(s) | 286 - 297 | |
| DOI | https://doi.org/10.1051/ps/2021011 | |
| Published online | 07 July 2021 | |
Local asymptotic self-similarity for heavy tailed harmonizable fractional Lévy motions
Department of Mathematics, Aarhus University,
Aarhus, Denmark.
* Corresponding author: basse@math.au.dk
Received:
4
January
2018
Accepted:
15
June
2021
In this work we characterize the local asymptotic self-similarity of harmonizable fractional Lévy motions in the heavy tailed case. The corresponding tangent process is shown to be the harmonizable fractional stable motion. In addition, we provide sufficient conditions for existence of harmonizable fractional Lévy motions.
Mathematics Subject Classification: 60G22 / 60F05 / 60E07
Key words: Local asymptotic self-similarity / harmonizable processes / fractional processes / spectral representations
© The authors. Published by EDP Sciences, SMAI 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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