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Localisable moving average symmetric stable and multistable processes
Abstract : We study a particular class of moving average processes which possess a property called localisability. This means that, at any given point, they admit a “tangent process”, in a suitable sense. We give general conditions on the kernel g defining the moving average which ensures that the process is localisable and we characterize the nature of the associated tangent processes. Examples include the reverse Ornstein-Uhlenbeck process and the multistable reverse Ornstein-Uhlenbeck process. In the latter case, the tangent process is, at each time t, a Lévy stable motion with stability index possibly varying with t. We also consider the problem of path synthesis, for which we give both theoretical results and numerical simulations.
Littérature citée [9 références]
https://hal.inria.fr/inria-00538980
Contributeur : Lisandro Fermin <>
Soumis le : mardi 23 novembre 2010 - 16:16:23
Dernière modification le : lundi 25 mars 2019 - 16:52:05
Document(s) archivé(s) le : jeudi 24 février 2011 - 03:18:34
Contributeur : Lisandro Fermin <>
Soumis le : mardi 23 novembre 2010 - 16:16:23
Dernière modification le : lundi 25 mars 2019 - 16:52:05
Document(s) archivé(s) le : jeudi 24 février 2011 - 03:18:34
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