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math.PR2012
On two multistable extensions of stable Lévy motion and their semimartingale representation
Ronan Le Guével, Jacques Lévy-Vehel, Lining Liu
We compare two definitions of multistable Lévy motions. Such processes are extensions of classical Lévy motion where the stability index is allowed to vary in time. We show that th…
math.PR2010★ 1 cited
Multistable processes and localisability
Kenneth Falconer, Lining Liu
We use characteristic functions to construct alpha(x)-multistable measures and integrals, where the measures behave locally like alpha-stable measures, but with the stability index…