Self-stabilizing processes

Abstract

We construct `self-stabilizing' processes {Z(t), t $\in [t_0,t_1)$}. These are random processes which when `localized', that is scaled around t to a fine limit, have the distribution of an $\alpha$(Z(t))-stable process, where $\alpha$ is some given function on R. Thus the stability index at t depends on the value of the process at t. Here we address the case where $\alpha$: R $\to$ (0,1). We first construct deterministic functions which satisfy a kind of autoregressive property involving sums over a plane point set $\Pi$. Taking $\Pi$ to be a Poisson point process then defines a random pure jump process, which we show has the desired localized distributions.

To appear, Stochastic Models