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Sample path properties of an explosive double autoregressive model
Econometric Reviews, 2016ABSTRACTThis article studies sample path properties of an explosive double autoregressive (DAR) model. After suitable renormalization, it is shown that the sample path converges weakly to a geometric Brownian motion. This further strengthens our understanding of sample paths of nonstationary DAR processes.
Feng Liu, Dong Li, Xinmei Kang
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Dimension properties of sample paths of self-similar processes
Acta Mathematica Sinica, 1994The Hausdorff dimensions of the image \(X(t)\), \(t \in E \subset R^ N\), \(N \geq 1\), and the graph \(\text{Gr }X(E) = \{(t,X(t)), t \in E\}\) are found out for the random fields with independent components. The results are extended to self-similar processes and fields (also vector-valued) with stationary increments, including Brownian motion ...
Xiao, Yimin, Lin, Huonan
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Variance properties of sample path derivatives of parametric random variables
Operations Research Letters, 1992zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Fractal properties of the sample path of a class of semimartingales
Summary: The fractal properties of the sample path of a semimartingale are characterized in terms of Hausdorff dimensions, and the collision problems of Brownian motion with finite variation process are also investigated.Luo, Shun Long, Zhang, Zheng Min
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Sample Path Properties of Stable Processes
Technometrics, 1982R. Syski +3 more
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Some sample path properties of a random walk on the cube
Journal of Theoretical Probability, 1989zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Introduction to sample path properties
2017Gennady Samorodnitsky, Murad S. Taqqu
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