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Title: Marginal Distributions of Self-Similar Processes with Stationary Increments
Authors: O'Brian, George
Vervaat, Wim
Keywords: self-similar processes
stationary increments
marginal distributions
concentration function
continuity of distribution functions
Issue Date: 2-Jul-2009
Series/Report no.: 550
Abstract: Let X= (Xt)t more than or equal to 0 to be a real-valued stochastic process which is self-similar with exponent H>0 and has stationary increments. Several results about the marginal distribution of X1 are given. For H inequal to 1, there is a universal bound, depending only on H, on the concentration function of logXsuper+sub1. For all H>0, X1 cannot have any atoms except in certain trivial cases. Some lower bounds are given for the tails of the distribution of X1 in case H>1. Finally, some results are given concerning the connectedness of the support of X1.
Description: Vervaat was a visitor from Katholieke Universiteit. Technical report dedicated to Professor John Lamperti in recognition of his pioneering work in this field.
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