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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 13, Fasc. 2,
pages 191 - 204
 

INTEGRABILITY OF STABLE PROCESSES

Gennady Samorodnitsky

Abstract: We give necessary and sufficient conditions for integral |X(t)|pn(dt) < oo T a.s. where p > 0, (X(t),t (- T ) is an a -stable process, 0 < a < 2, and n is a s -finite measure. We establish the tail behavior of the distribution of the above integral, and we prove a Fubini-type theorem which justifies a change of order of ordinary integration and stochastic integration with respect to a stable random measure.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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