Abstract:Long memory processes driven by Lévy noise with finite second-order moments have been well studied in the literature. They form a very rich class of processes presenting an autocovariance function that decays like a power function. Here, we study a class of Lévy processes whose second-order moments are infinite, the so-called α-stable processes. Based on Samorodnitsky and Taqqu (1994), we construct an isometry that allows us to define stochastic integrals concerning the linear fractional stable motion using Ri… Show more
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