An asymptotically 4-stable process
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Authors
Burdzy, Krzysztof
Madrecki, Andrzej
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CRC Press
Abstract
An asymptotically 4-stable process is constructed. The model identifies the 4-stable process with a sequence of processes converging in a very weak sense. It is proved that the 4-th variation of the process is a linear function of time and its quadratic variation may be identified with a Brownian motion.
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Citation
Burdzy, K. (1995). Journal of Fourier Analysis and Applications, Special Issue: Proceedings of the Conference in Honor of Jean-Pierre Kahane : Orsay, June 28 - July 3, 1993. Boca Raton [Fla.] : CRC Press, 97-117.