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THE LOCAL STRUCTURE OF RANDOM PROCESSES

Published online by Cambridge University Press:  20 May 2003

KENNETH J. FALCONER
Affiliation:
Mathematical Institute, University of St Andrews, North Haugh, St Andrews Fife KY16 9SS
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Abstract

A tangent process of a random process X at a point z is defined to be the limit in distribution of some sequence of scaled enlargements of X about z. The main result of the paper is that a tangent process must be self-similar with stationary increments, at almost all points z where the tangent process is essentially unique. The consequences for tangent processes of certain classes of process are examined, including stable processes and processes with independent increments where unique tangent processes are Lévy processes.

Keywords

Type
Research Article
Copyright
The London Mathematical Society 2003

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