Accession Number : ADA192892

Title :   On Stable Markov Processes.

Descriptive Note : Technical rept. Sep 87-Aug 88,

Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s) : Adler, Robert J ; Gambanis, Stamatis ; Samorodnitsky, Gennady

PDF Url : ADA192892

Report Date : Sep 1987

Pagination or Media Count : 46

Abstract : Necessary conditions are given for a symmetric alpha-stable (SaS) process, 1alpha2, to be Markov. These conditions are then applied to find Markov or weakly Markov processes within certain important classes of S/alpha/S processes: time changed Levy motion, sub-Gaussian processes, moving averages and harmonizable processes. Two stationary S/alpha/ S Markov processes are introduced, the right and the left S/alpha/S Ornstein-Uhlenbeck processes. Some of the results are in sharp contrast to the Gaussian case alpha=2. Keywords: Harmonizable process; Stable conditional distribution.

Descriptors :   *MARKOV PROCESSES, CONTRAST, MEAN, MOTION, SHARPNESS, STABILITY

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE