Abstract
We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to certain important families of processes that are not self-similar in the conventional sense. This includes Hougaard Lévy processes such as the Poisson processes, Brownian motions with drift and the inverse Gaussian processes, and some new fractional Hougaard motions defined as moving averages of Hougaard Lévy process. Such families have many properties in common with ordinary self-similar processes, including the form of their covariance functions, and the fact that they appear as limits in a Lamperti-type limit theorem for families of stochastic processes.
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Jørgensen, B., Martínez, J.R. & Demétrio, C.G. Self-similarity and Lamperti convergence for families of stochastic processes. Lith Math J 51, 342–361 (2011). https://doi.org/10.1007/s10986-011-9131-7
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DOI: https://doi.org/10.1007/s10986-011-9131-7