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Indicator fractional stable motions

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arxiv 1010.3136 v3 pith:QVO3ASMR submitted 2010-10-15 math.PR

Indicator fractional stable motions

classification math.PR
keywords motionsfractionalstablealpharandombrowniancomplementaryfamily
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Using the framework of random walks in random scenery, Cohen and Samorodnitsky (2006) introduced a family of symmetric $\alpha$-stable motions called local time fractional stable motions. When $\alpha=2$, these processes are precisely fractional Brownian motions with $1/2<H<1$. Motivated by random walks in alternating scenery, we find a "complementary" family of symmetric $\alpha$-stable motions which we call indicator fractional stable motions. These processes are complementary to local time fractional stable motions in that when $\alpha=2$, one gets fractional Brownian motions with $0<H<1/2$.

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