Complete description of all self-similar models driven by Lévy stable noise.
A canonical decomposition of H-self-similar Lévy symmetric alpha-stable processes is presented. The resulting components completely described by both deterministic kernels and the corresponding stochastic integral with respect to the Lévy symmetric alpha-stable motion are shown to be related to the dissipative and conservative parts of the dynamics. This result provides stochastic analysis tools for study the anomalous diffusion phenomena in the Langevin equation framework. For example, a simple computer test for testing the origins of self-similarity is implemented for four real empirical time series recorded from different physical systems: an ionic current flow through a single channel in a biological membrane, an energy of solar flares, a seismic electric signal recorded during seismic Earth activity, and foreign exchange rate daily returns.
Weron
Aleksander
A
Hugo Steinhaus Center, Institute of Mathematics, Wroclaw University of Technology, Wyb. Wyspianskiego 27, 50-370 Wroclaw, Poland. aleksander.weron@pwr.wroc.pl
Burnecki
Krzysztof
K
Mercik
Szymon
S
Weron
Karina
K