We fix d ≥ 2 and denote S the semi-group of d× d matrices with non negative entries. We consider a sequence (An, Bn)n≥1 of i. i. d. random variables with values in S × R+ and study the asymptotic behavior of the Markov chain (Xn)n≥0 on R+ defined by: ∀n ≥ 0, Xn+1 = An+1Xn +Bn+1, where X0 is a fixed random variable. We assume that the Lyapunov exponent of the matrices An equals 0 and prove, under quite general hypotheses, that there exists a unique (infinite) Radon measure λ on (R+)d which is invariant for the chain (Xn)n≥0. The existence of λ relies on a recent work by T.D.C. Pham about fluctuations of the norm of product of random matrices [16]. Its unicity is a consequence of a general property, called “local contractivity”, highlighted about 20 years ago by M. Babillot, Ph. Bougerol et L. Elie in the case of the one dimensional affine recursion [1] .
{"title":"On the affine recursion on R_d+ in the critical case","authors":"S. Brofferio, M. Peigné, Thi da Cam Pham","doi":"10.30757/ALEA.V18-37","DOIUrl":"https://doi.org/10.30757/ALEA.V18-37","url":null,"abstract":"We fix d ≥ 2 and denote S the semi-group of d× d matrices with non negative entries. We consider a sequence (An, Bn)n≥1 of i. i. d. random variables with values in S × R+ and study the asymptotic behavior of the Markov chain (Xn)n≥0 on R+ defined by: ∀n ≥ 0, Xn+1 = An+1Xn +Bn+1, where X0 is a fixed random variable. We assume that the Lyapunov exponent of the matrices An equals 0 and prove, under quite general hypotheses, that there exists a unique (infinite) Radon measure λ on (R+)d which is invariant for the chain (Xn)n≥0. The existence of λ relies on a recent work by T.D.C. Pham about fluctuations of the norm of product of random matrices [16]. Its unicity is a consequence of a general property, called “local contractivity”, highlighted about 20 years ago by M. Babillot, Ph. Bougerol et L. Elie in the case of the one dimensional affine recursion [1] .","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":"2012 1","pages":"1007"},"PeriodicalIF":0.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87966699","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyze the geometrical structure of the passage times in the last passage percolation model. Viewing the passage time as a piecewise linear function of the weights we determine the domains of the various pieces, which are the subsets of the weight space that make a given path the longest one. We focus on the case when all weights are assumed to be positive, and as a result each domain is a pointed polyhedral cone. We determine the extreme rays, facets, and two-dimensional faces of each cone, and also review a well-known simplicial decomposition of the maximal cones via the so-called order cone. All geometric properties are derived using arguments phrased in terms of the last passage model itself. Our motivation is to understand path probabilities of the extremal corner paths on rectangles in Z, but all of our arguments apply to general, finite partially ordered sets.
{"title":"On the Passage Time Geometry of the\u0000Last Passage Percolation Problem","authors":"Tom Alberts, E. Cator","doi":"10.30757/alea.v18-10","DOIUrl":"https://doi.org/10.30757/alea.v18-10","url":null,"abstract":"We analyze the geometrical structure of the passage times in the last passage percolation model. Viewing the passage time as a piecewise linear function of the weights we determine the domains of the various pieces, which are the subsets of the weight space that make a given path the longest one. We focus on the case when all weights are assumed to be positive, and as a result each domain is a pointed polyhedral cone. We determine the extreme rays, facets, and two-dimensional faces of each cone, and also review a well-known simplicial decomposition of the maximal cones via the so-called order cone. All geometric properties are derived using arguments phrased in terms of the last passage model itself. Our motivation is to understand path probabilities of the extremal corner paths on rectangles in Z, but all of our arguments apply to general, finite partially ordered sets.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"69590994","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We consider models for count variables with a GARCH-type structure. Such a process consists of an integer-valued component and a volatility process. Using arguments for contractive Markov chains we prove that this bivariate process has a unique stationary regime. Furthermore, we show absolute regularity (β-mixing) with geometrically decaying coefficients for the count process. These probabilistic results are complemented by a statistical analysis and a few simulations.
{"title":"Mixing properties of integer-valued GARCH processes","authors":"P. Doukhan, N. M. Khan, Michael H. Neumann","doi":"10.30757/ALEA.V18-18","DOIUrl":"https://doi.org/10.30757/ALEA.V18-18","url":null,"abstract":"We consider models for count variables with a GARCH-type structure. Such a process consists of an integer-valued component and a volatility process. Using arguments for contractive Markov chains we prove that this bivariate process has a unique stationary regime. Furthermore, we show absolute regularity (β-mixing) with geometrically decaying coefficients for the count process. These probabilistic results are complemented by a statistical analysis and a few simulations.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":"8 1","pages":"401"},"PeriodicalIF":0.7,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79232960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones. Indeed, when the convex order dominating original probability measure is compactly supported, it is smaller than any of its dual quantizations while the dominated original measure is greater than any of its stationary (and therefore any of its quadratic optimal) primal quantization. Moreover, the quantization errors then correspond to martingale couplings between each original probability measure and its quantization. This permits to prove that any martingale coupling between the original probability measures can be approximated by a martingale coupling between their quantizations in Wassertein distance with a rate given by the quantization errors but also in the much finer adapted Wassertein distance. As a consequence, while the stability of (Weak) Martingale Optimal Transport problems with respect to the marginal distributions has only been established in dimension 1 so far, their value function computed numerically for the quantized marginals converges in any dimension to the value for the original probability measures as the numbers of quantization points go to ∞.
{"title":"Quantization and martingale couplings","authors":"B. Jourdain, G. Pagès","doi":"10.30757/alea.v19-01","DOIUrl":"https://doi.org/10.30757/alea.v19-01","url":null,"abstract":"Quantization provides a very natural way to preserve the convex order when approximating two ordered probability measures by two finitely supported ones. Indeed, when the convex order dominating original probability measure is compactly supported, it is smaller than any of its dual quantizations while the dominated original measure is greater than any of its stationary (and therefore any of its quadratic optimal) primal quantization. Moreover, the quantization errors then correspond to martingale couplings between each original probability measure and its quantization. This permits to prove that any martingale coupling between the original probability measures can be approximated by a martingale coupling between their quantizations in Wassertein distance with a rate given by the quantization errors but also in the much finer adapted Wassertein distance. As a consequence, while the stability of (Weak) Martingale Optimal Transport problems with respect to the marginal distributions has only been established in dimension 1 so far, their value function computed numerically for the quantized marginals converges in any dimension to the value for the original probability measures as the numbers of quantization points go to ∞.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49344322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We continue our analysis of Ising models on the (directed) Erdős-Renyi random graph $G(N,p)$. We prove a quenched Central Limit Theorem for the magnetization and describe the fluctuations of the log-partition function. In the current note we consider the low temperature regime $beta>1$ and the case when an external magnetic field is present. In both cases, we assume that $p=p(N)$ satisfies $p^3N to infty$.
我们继续分析(有向)Erdős-Renyi随机图$G(N,p)$上的Ising模型。我们证明了磁化的一个淬灭中心极限定理，并描述了对数配分函数的涨落。在当前的说明中，我们考虑低温状态$beta>1$和存在外部磁场的情况。在这两种情况下，我们都假设$p=p(N)$满足$p^3N to infty$。
{"title":"Fluctuations of the Magnetization for Ising models on Erdős-Rényi random graphs – the regimes of low temperature and external magnetic field","authors":"Z. Kabluchko, Matthias Lowe, K. Schubert","doi":"10.30757/alea.v19-21","DOIUrl":"https://doi.org/10.30757/alea.v19-21","url":null,"abstract":"We continue our analysis of Ising models on the (directed) Erdős-Renyi random graph $G(N,p)$. We prove a quenched Central Limit Theorem for the magnetization and describe the fluctuations of the log-partition function. In the current note we consider the low temperature regime $beta>1$ and the case when an external magnetic field is present. In both cases, we assume that $p=p(N)$ satisfies $p^3N to infty$.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48041404","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We consider the problem of undirected polymers (tied at the endpoints) in random environment, also known as the unoriented first passage percolation on the hypercube, in the limit of large dimensions. By means of the multiscale refinement of the second moment method we obtain a fairly precise geometrical description of optimal paths, i.e. of polymers with minimal energy. The picture which emerges can be loosely summarized as follows. The energy of the polymer is, to first approximation, uniformly spread along the strand. The polymer's bonds carry however a lower energy than in the directed setting, and are reached through the following geometrical evolution. Close to the origin, the polymer proceeds in oriented fashion -- it is thus as stretched as possible. The tension of the strand decreases however gradually, with the polymer allowing for more and more backsteps as it enters the core of the hypercube. Backsteps, although increasing the length of the strand, allow the polymer to connect reservoirs of energetically favorable edges which are otherwise unattainable in a fully directed regime. These reservoirs lie at mesoscopic distance apart, but in virtue of the high dimensional nature of the ambient space, the polymer manages to connect them through approximate geodesics with respect to the Hamming metric: this is the key strategy which leads to an optimal energy/entropy balance. Around halfway, the mirror picture sets in: the polymer tension gradually builds up again, until full orientedness close to the endpoint. The approach yields, as a corollary, a constructive proof of the result by Martinsson [Ann. Appl. Prob. 26 (2016), Ann. Prob. 46 (2018)] concerning the leading order of the ground state.
{"title":"Undirected Polymers in Random Environment: path properties in the mean field limit.","authors":"N. Kistler, A. Schertzer","doi":"10.30757/alea.v19-61","DOIUrl":"https://doi.org/10.30757/alea.v19-61","url":null,"abstract":"We consider the problem of undirected polymers (tied at the endpoints) in random environment, also known as the unoriented first passage percolation on the hypercube, in the limit of large dimensions. By means of the multiscale refinement of the second moment method we obtain a fairly precise geometrical description of optimal paths, i.e. of polymers with minimal energy. The picture which emerges can be loosely summarized as follows. The energy of the polymer is, to first approximation, uniformly spread along the strand. The polymer's bonds carry however a lower energy than in the directed setting, and are reached through the following geometrical evolution. Close to the origin, the polymer proceeds in oriented fashion -- it is thus as stretched as possible. The tension of the strand decreases however gradually, with the polymer allowing for more and more backsteps as it enters the core of the hypercube. Backsteps, although increasing the length of the strand, allow the polymer to connect reservoirs of energetically favorable edges which are otherwise unattainable in a fully directed regime. These reservoirs lie at mesoscopic distance apart, but in virtue of the high dimensional nature of the ambient space, the polymer manages to connect them through approximate geodesics with respect to the Hamming metric: this is the key strategy which leads to an optimal energy/entropy balance. Around halfway, the mirror picture sets in: the polymer tension gradually builds up again, until full orientedness close to the endpoint. The approach yields, as a corollary, a constructive proof of the result by Martinsson [Ann. Appl. Prob. 26 (2016), Ann. Prob. 46 (2018)] concerning the leading order of the ground state.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47256335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Growth-fragmentation processes model systems of cells that grow continuously over time and then fragment into smaller pieces. Typically, on average, the number of cells in the system exhibits asynchronous exponential growth and, upon compensating for this, the distribution of cell sizes converges to an asymptotic profile. However, the long-term stochastic behaviour of the system is more delicate, and its almost sure asymptotics have been so far largely unexplored. In this article, we study a growth-fragmentation process whose cell sizes are bounded above, and prove the existence of regimes with differing almost sure long-term behaviour.
{"title":"Strong laws of large numbers for a growth-fragmentation process with bounded cell sizes","authors":"E. Horton, A. Watson","doi":"10.30757/ALEA.v19-68","DOIUrl":"https://doi.org/10.30757/ALEA.v19-68","url":null,"abstract":"Growth-fragmentation processes model systems of cells that grow continuously over time and then fragment into smaller pieces. Typically, on average, the number of cells in the system exhibits asynchronous exponential growth and, upon compensating for this, the distribution of cell sizes converges to an asymptotic profile. However, the long-term stochastic behaviour of the system is more delicate, and its almost sure asymptotics have been so far largely unexplored. In this article, we study a growth-fragmentation process whose cell sizes are bounded above, and prove the existence of regimes with differing almost sure long-term behaviour.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-12-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46011423","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Forman et al. (2020+) constructed $(alpha,theta)$-interval partition evolutions for $alphain(0,1)$ and $thetage 0$, in which the total sums of interval lengths ("total mass") evolve as squared Bessel processes of dimension $2theta$, where $thetage 0$ acts as an immigration parameter. These evolutions have pseudo-stationary distributions related to regenerative Poisson--Dirichlet interval partitions. In this paper we study symmetry properties of $(alpha,theta)$-interval partition evolutions. Furthermore, we introduce a three-parameter family ${rm SSIP}^{(alpha)}(theta_1,theta_2)$ of self-similar interval partition evolutions that have separate left and right immigration parameters $theta_1ge 0$ and $theta_2ge 0$. They also have squared Bessel total mass processes of dimension $2theta$, where $theta=theta_1+theta_2-alphage-alpha$ covers emigration as well as immigration. Under the constraint $max{theta_1,theta_2}gealpha$, we prove that an ${rm SSIP}^{(alpha)}(theta_1,theta_2)$-evolution is pseudo-stationary for a new distribution on interval partitions, whose ranked sequence of lengths has Poisson--Dirichlet distribution with parameters $alpha$ and $theta$, but we are unable to cover all parameters without developing a limit theory for composition-valued Markov chains, which we do in a sequel paper.
{"title":"Two-sided immigration, emigration and symmetry properties of self-similar interval partition evolutions","authors":"Quan Shi, Matthias Winkel","doi":"10.30757/alea.v20-25","DOIUrl":"https://doi.org/10.30757/alea.v20-25","url":null,"abstract":"Forman et al. (2020+) constructed $(alpha,theta)$-interval partition evolutions for $alphain(0,1)$ and $thetage 0$, in which the total sums of interval lengths (\"total mass\") evolve as squared Bessel processes of dimension $2theta$, where $thetage 0$ acts as an immigration parameter. These evolutions have pseudo-stationary distributions related to regenerative Poisson--Dirichlet interval partitions. In this paper we study symmetry properties of $(alpha,theta)$-interval partition evolutions. Furthermore, we introduce a three-parameter family ${rm SSIP}^{(alpha)}(theta_1,theta_2)$ of self-similar interval partition evolutions that have separate left and right immigration parameters $theta_1ge 0$ and $theta_2ge 0$. They also have squared Bessel total mass processes of dimension $2theta$, where $theta=theta_1+theta_2-alphage-alpha$ covers emigration as well as immigration. Under the constraint $max{theta_1,theta_2}gealpha$, we prove that an ${rm SSIP}^{(alpha)}(theta_1,theta_2)$-evolution is pseudo-stationary for a new distribution on interval partitions, whose ranked sequence of lengths has Poisson--Dirichlet distribution with parameters $alpha$ and $theta$, but we are unable to cover all parameters without developing a limit theory for composition-valued Markov chains, which we do in a sequel paper.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47694958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
D. Bertacchi, Peter Braunsteins, S. Hautphenne, F. Zucca
We consider Galton-Watson branching processes with countable typeset $mathcal{X}$. We study the vectors ${bf q}(A)=(q_x(A))_{xinmathcal{X}}$ recording the conditional probabilities of extinction in subsets of types $Asubseteq mathcal{X}$, given that the type of the initial individual is $x$. We first investigate the location of the vectors ${bf q}(A)$ in the set of fixed points of the progeny generating vector and prove that $q_x({x})$ is larger than or equal to the $x$th entry of any fixed point, whenever it is different from 1. Next, we present equivalent conditions for $q_x(A)< q_x (B)$ for any initial type $x$ and $A,Bsubseteq mathcal{X}$. Finally, we develop a general framework to characterise all emph{distinct} extinction probability vectors, and thereby to determine whether there are finitely many, countably many, or uncountably many distinct vectors. We illustrate our results with examples, and conclude with open questions.
{"title":"Extinction probabilities in branching processes with countably many types: a general framework","authors":"D. Bertacchi, Peter Braunsteins, S. Hautphenne, F. Zucca","doi":"10.30757/alea.v19-12","DOIUrl":"https://doi.org/10.30757/alea.v19-12","url":null,"abstract":"We consider Galton-Watson branching processes with countable typeset $mathcal{X}$. We study the vectors ${bf q}(A)=(q_x(A))_{xinmathcal{X}}$ recording the conditional probabilities of extinction in subsets of types $Asubseteq mathcal{X}$, given that the type of the initial individual is $x$. We first investigate the location of the vectors ${bf q}(A)$ in the set of fixed points of the progeny generating vector and prove that $q_x({x})$ is larger than or equal to the $x$th entry of any fixed point, whenever it is different from 1. Next, we present equivalent conditions for $q_x(A)< q_x (B)$ for any initial type $x$ and $A,Bsubseteq mathcal{X}$. Finally, we develop a general framework to characterise all emph{distinct} extinction probability vectors, and thereby to determine whether there are finitely many, countably many, or uncountably many distinct vectors. We illustrate our results with examples, and conclude with open questions.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46559958","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Long memory processes driven by Levy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here, we study a class of Levy process whose second-order moments are infinite, the so-called $alpha$-stable processes. Based on Samorodnitsky and Taqqu (2000), we construct an isometry that allows us to define stochastic integrals concerning the linear fractional stable motion using Riemann-Liouville fractional integrals. With this construction, follows naturally an integration by parts formula. We then present a family of stationary $Salpha S$ processes with the property of long-range dependence, using a generalized measure to investigate its dependence structure. In the end, the law of large number's result for a time's sample of the process is shown as an application of the isometry and integration by parts formula.
{"title":"Fractionally Integrated Moving Average Stable Processes With Long-Range Dependence","authors":"G. Feltes, S. Lopes","doi":"10.30757/alea.v19-23","DOIUrl":"https://doi.org/10.30757/alea.v19-23","url":null,"abstract":"Long memory processes driven by Levy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function which decays like a power function. Here, we study a class of Levy process whose second-order moments are infinite, the so-called $alpha$-stable processes. Based on Samorodnitsky and Taqqu (2000), we construct an isometry that allows us to define stochastic integrals concerning the linear fractional stable motion using Riemann-Liouville fractional integrals. With this construction, follows naturally an integration by parts formula. We then present a family of stationary $Salpha S$ processes with the property of long-range dependence, using a generalized measure to investigate its dependence structure. In the end, the law of large number's result for a time's sample of the process is shown as an application of the isometry and integration by parts formula.","PeriodicalId":49244,"journal":{"name":"Alea-Latin American Journal of Probability and Mathematical Statistics","volume":" ","pages":""},"PeriodicalIF":0.7,"publicationDate":"2020-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46439305","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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